Correct. Themes change the overall look of whatever app they're made for, ie messaging, calendar, etc. And/or, they change the notification bar and etc.
However, installing a new rom shouldn't revert your wallpaper back to something else you've used. Really, the only way that should be happening is if you're restoring a backup that you made where you had her picture set as the wallpaper.
Is the picture there until you change it, or is it showing up and then taking some time to load whatever wallpaper you replaced it with? I've had experiences where my live wallpaper had been killed by the OS's "task manager" function and a regular picture that I had previously set appeared for a few seconds before the live wallpaper kicked in, but never had a wallpaper that I had changed reappear after installing a new rom.
In fact, when you install a new rom, the wallpaper should revert to the standard stock wallpaper, or whatever wallpaper is setup as the stock one of the rom. When you install a different rom, are you wiping your phone, or just installing roms ontop of roms?
Sorry for the lengthy post here. Just trying to get a full picture of the issue!