How can I change code on find my iPhone when lost mode

Hello,

You are unable to do that right now, however you can lock your iPhone so they cannot access anything. To do this, go into Find iPhone and then press your lost iPhone. Once you've done that press 'lost mode' (you can even leave a message for them so they know who to return the phone to.) However, if you don't want to enable lost mode you can always erase the iPhone.

You might also benefit from reading this article: If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support.

I wish you the best of luck.

You don't, you need to be in possession of the device to change the passcode.