It may be a music player that downloads album art if the songs in your phone do not have any embedded within their corresponding ID3v2 tags. If you have them sideloaded in a folder, the folders may have album art in them. Try using a file browser and delete the images from the folder. You can try deleting them from Gallery, though I'm not sure whether it will affect the music files or not. (It really shouldn't)
Can you provide a screenshot of Gallery on you phone showing the album art?