Image loading memory leak with C#

I have a memory leak issue in my application which loads a large amount of images. I'm rather new to C#, and thought my days of memory leak issues were past. I can't figure out the problem - maybe I'm using some unmanaged modules which I'm not handle correctly?

To illustrate my problem I've simplified the core of what causes the problem and moved this to a clean project. Note that this is all silly code which doesn't reflect the original application it came from. In the test application I have 2 buttons, triggering two events.

Button 1 - Create: Setting an object to the datacontext. This will load the images and keep them alive by setting the object to the DataContext:

var imgPath = @"C:\some_fixed_path\img.jpg";
DataContext = new SillyImageLoader(imgPath);

Button 2 - CleanUp: My understanding is that if I let go of the reference holding the SillyImageLoader which again holds the images, then this will be deleted. I also explicitly trigger garbage collection just to see immediately the amount of memory after dropping the reference.

DataContext = null; 
System.GC.Collect();

When testing I'm loading a 974KB jpeg image. Holding 30 bitmap representations of this boosts the memory usage of my application from ~18MB to ~562MB. Ok. But when I hit cleanup the memory drops only to ~292MB. If I repeat Create+CleanUp I'm left with another ~250MB memory. So obviously something is still held by someone.

Here is the SillyImageLoader-code:

namespace MemoryLeakTest
{
    using System;
    using System.Drawing;
    using System.Windows;
    using System.Windows.Interop;
    using System.Windows.Media.Imaging;

    public class SillyImageLoader
    {
        private BitmapSource[] _images; 

        public SillyImageLoader(string path)
        {
            DummyLoad(path);
        }

        private void DummyLoad(string path)
        {
            const int numberOfCo