As far as I know, this is not a possibility. The background that is set remains through the whole system. The lock screen is simply transparent so it allows your background to show through. The only other way to do this would be to take the framework-res.apk find the background image of the lock screen and replace it with your own. This would not be accessible from the phone, you would have to push the framework-res.apk everytime you wanted to change the background which is a pain. So, in other words, no, there is not a way to do this as far as I know. There may be an app on the market that could do this though, such as lock 2.0? check it out and see.