I'm guessing this is skin related as the theme image is part of the page design.
Wrong guess. A skin has almost no ability to affect anything that's happening in the
Explore view - it's largely "forbidden territory." It's purely the province of the jAlbum core.
The sequence:
1. Add the image to the project.
2. Exclude the image (don't delete it).
3. Drag the now-excluded thumbnail to the
Theme image box.
If you reverse steps 2 and 3, you'll have problems!