One Commander just tells Windows to open a file giving it a full path. Photos app should know what files are in the same folder so they should implement this feature regardless of which program the file came from. Unfortunately I don't have a workaround for this - Microsoft has some clumsy API for that but it is for UWP apps, and OC is not UWP app.
One way to go through images with arrow keys is use the built-in preview window (pressing spacebar) and then use up/down buttons to open the previous/next photo, or use QuickLook software for which OC has integration with spacebar key. Other picture viewers like FastStone image viewer and all others don't have that issue so you can use those also instead of the Microsoft's Photos app.