Are you trying to add photos as a Desktop wallpaper in the System Settings?
The easiest way would be to export all photos from Photos, that you want to use as a wallpaper to a folder in your Pictures folder, then select this folder in the System Settings.
This will have the added bonus that you can use the edited version if the photos. There is still the bug in Photos, that we are not always seeing the edited versions in the screensaver and the Desktop wallpaper, but the unmodified original. By exporting the edited version to a folder we are ensuring that the current version will be used.