So i managed to have it work. I decided to use std::wstring instead of std::string
So there is 2 step .

1. Convert wxString to std::wstring
   This is easly done using a C style cast:
   const std::wstring fileName = (std::wstring)wxFileName;

2. Read file using OpenCV. Done using this answer
   Basically the file bytes are loaded in RAM then fed to cv::imdecode