If after doing what Lakshmi suggested and the problem persists, check if the software you are using has the license that covers markov usage. If not, activate it.
The software can be annoyingly stubborn, that's for sure but you shoulf also know that some conditions given by the developers are germaine if you want tk enjoy the beautiful result that comes from it. Please try the following too:
1. Be sure the second image is not repeated
2. You can export the second file into the same working folder, but rename it.
...if all these together with those given by @Zemba and @Lakshmi doesn't work, please restart the entire process.
If you save all the required files in your project same directory it should not be appeared. I also faced such issue. Just keeping the required files in same project directory it resolves. Also, if all the required files are in the same directory, you can find all the required just by clicking the 3 dots and detail directory should not be shown. You can be mine as example.