Windows 10 has a problem with seeing images in subfolders when selecting Slideshow for your wallpapers. Here is a trick to getting this to work.
1) Open up the main folder of images you want to use such as “Pictures” with your Windows Explorer.
2) Enter either “kind:=picture“ or “type:image” in the search box on the upper right side of the Windows Explorer window and it will show all of the pictures in the folder to include those in subfolders.
3) Select all of the images you want as a part of your slide show.
4) Right-click on any of the ones you selected and choose “Set As Desktop background”.
5) Now right click on your desktop and select “Personalize” and make sure that the “Background” shows “Slideshow” as the option.