I was facing the same problem today and found your question here on SO.
I was able to solve this issue by finding the config.ini
file of the AVD itself,
and by editing it manually (e.g. with Notepad). On my Windows 10 machine the file is this one.
C:\Users\peter\.android\avd\Nexus_5_API_25.avd\config.ini
In that file I had to manually edit the value of this property as follows.
sdcard.path=C:\Programs\Android\SD_Card_Image\SD_Card001.img
That seems to make Android Studio to not revert back to a blank external file name.
EDIT:
The weird thing is that even you specify an external file for your SD card image (as opposed to a studio managed SD card), that doesn't mean the AVD is using this exact file which you specified. Seems it uses it just initially (for initialization). Then Android Studio creates a copy of the image file somewhere (inside the AVD folder it seems) and from there on it uses his own copy. That was quite a surprising behavior to me. I even find it buggy. If that's what's intended, then what is the purpose of having the option to specify an external file?