This Works:
Sending Uri directly as a parameter to the constructor sets the UriSource of the object photo.
BitmapImage photo = new BitmapImage(new Uri("pack://application:,,,/Images/EmptyImage.jpg"));

Doesn't Work:
But setting the UriSource property keeps the UriSource as null
BitmapImage photo = new BitmapImage();
photo.UriSource = new Uri("pack://application:,,,/Images/EmptyImage.jpg");

According to MSDN
So you need to set it this way: