For customizing Phosh background we just have to put the custom CSS in the file gtk.css located at ~/.config/gtk-3.0/.
Here is the content of mine: https://gist.github.com/lowkeylone/a638d72587d921f420bba253e05c0d3c
Thanks to @dos for the tip 😁
@torbuntu @lowkeylone The wallpaper is set in a regular GNOME way - phosh gets it from the same place GNOME Shell does.