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 'http://test.24baby.nl/zwanger/';
}
add_filter( 'lostpassword_url', 'wachtwoordurl' );

but that doesn’t work.

Thanks!