I cannot change lock screen picture

I have recently upgraded to Android Version 5. A few days ago, I was watching David Blaine on YouTube which was Chromecast to TV. Now my lockscreen has been changed to a still from the show. I have tried everything to change the picture.

• Gallery > Pic > Set As > Lock screen
• Settings > Wallpaper > Lock screen

No errors are returned. The request to change completes as if set. The picture/still is not in the gallery.

Help!