Here is How you can change Lock Screen wallpaper of your phone if you are using CM12. First of all you will require root access and file explorer application like ES File explorer, Solid explorer etc.
Open the file browser and go /data/system/users/0/ and take a backup of keyguard_wallpaper (or you can rename it). Rename the image which you want to set as your lock screen wallpaper to keyguard_wallpaper (with out extension) and place it on the same directory (/data/system/users/0/). After that you will have to change the permission of the file to rwx.
If you don’t want a lock screen wallpaper (it will show your wallpaper), you can just delete or rename the keyguard_wallpaper.
watch the video below