Normally, it is the home launcher app which changes the wallpaper in the device, both for home screen and lock screen. For default stock home launcher in OxygenOS, the custom image wallpapers are saved inside
/data/user/0/net.oneplus.launcher/files/ with prefix wallpaper.
So, without root access, all you can do is bear that entry, or, clear data for your launcher app (which would remove all the settings and changes you've ever made in that launcher). To clear data, go into Settings app → Apps → choose Show system apps → locate your home launcher app → Storage → Clear data.
For rooted devices only
If you want to prevent that image to reappear in wallpaper selection view, you have to edit the database inside which its entry is stored and then delete that entry. Simply removing the wallpaper file from data directory doesn't always work.
The database you're looking for is named
saved_wallpaper_images.db located inside
/data/user/0/net.oneplus.launcher/databases. You'd need tools to edit that database.
You can pull it into your PC, edit it using a compatible software, push it back and then fix permissions. This is a messy solution.
You can use sqlite3 inary compiled for your device's architecture and then use it within your device to edit out that database. You'd need to search on web some commands (common enough) to load a database, locate a table, and delete a row. This is again messy.
There are some apps which claim to both read and write an app's database, such as SQLite Editor. It didn't work in my case though. I have My Android Tools (Pro) (not available in Play Store anymore) and I used it to remove the entries for wallpapers from the aforesaid database. It is quite easy to use. Select the app, select the database, select the table, then row and tap on delete icon.