I pretty much listed all the steps in my initial post, but here it is again explicitly described, using the latest release version (4.0.18): 1) Create a new image 30,000 px wide by 38,000 px tall. This should automatically create a "Background" layer that is solid white pixels.
2) Duplicate the layer. You can use Magic Wand to select either layer and it should select the entire image on either layer
3) Save file as .pdn
4) Close Paint.net, reopen it, then open the .pdn file
5) Use the Magic Wand tool to select anywhere on either Background layer and a row of pixels will be missing, replaced with transparent pixels, so the Magic Wand will only select part of the image.
This has shown up in three different files I was working on with a couple different sizes over 30k px.