Custom retrieve password reset page

I want a custom login for my users and not login through wp-login.php
For logging in, it′s all good.
It works for reset password and filling in the right username or email as well. (using redirect)
But when filling in the wrong username I still get redirected to xxx/wp-login.php

I tried to alter the lostpassword_url filter:

function wachtwoordurl( $lostpassword_url ) {
    return 'https://test.24baby.nl/zwanger/';
}
add_filter( 'lostpassword_url', 'wachtwoordurl' );

but that doesn’t work.

Thanks!