Seems like double-clicking on an international theme only adds that theme's photos temporarily. You can make them permanently available for slideshow from any theme by copying the themes' images to Windows\Web\wallpaper\[something]. That produces a category called [something] in the Personalization dialog with the images available for selection.

Strangely, my Windows seemed to balk at copying each of the main picture folders directly. It behaved like they were something special and not just a folder with a name. e.g. copying MCT-AU\Austraila worked fine, but subsequently copying MCT-CA\Canada brought up a dialog saying "There is already a folder named Australia in this location. Would you like to merge the two folders?" It then showed two folders named Australia and Canada. (Why isn't Microsoft happy with a folder being named what it's named, existing where it's located, without all the tomfoolery?)

To get the photos all available I had to manually create folders for each of Australia, Canada etc. and copy the jpeg files by hand.