As of 08/25/2018, the latest version (stable or nightly) of RetroNX has the ability to have core specific splash screens and menu backgrounds.
mGBA menu background and splash screen. Credit: DanilAran64
There are some bundled themes but if you wish to use your own you must go to /retroarch/nxrgui on your sd card. In this folder will be three more folders: menu, overlays, and splash. Simply put your images in the correct folder with the correct core name. For example, the above images are named "mGBA.png".