The exhibition, “Yorgos Lanthimos: Photography,” opens Saturday at the Onassis Stegi, a major Athens art venue. On display alongside the shots from his homecoming series, most of which Lanthimos printed in his own darkroom, will be photographs taken on the sets of his three most recent movies: “Poor Things,” “Kinds of Kindness” and “Bugonia,” which is up for best picture at the Academy Awards this month.