That all depends on if you want the game to randomly choose the image each time, or if you want it to choose the background in a specific order.
If you want to make sure it specifically cycles through each background in a specific order you will need to store the last bg used in a variable on the computer and update it each time the game runs. If you do this, you would have an event on start of layout to load the information and select the next bg in the sequence.
If you just want a random background (and this is the easier solution) you would just need to create your background objects, and use the random(N) function to decide which to use.
In both scenarios, you would use a global variable contained in an event sheet, which all scenes had access to, to store the background you have currently selected. You would set this variable on the first scene and and all the other scenes would just reference it to properly set their bg.