How do I lock my iCloud phone if it is lost?

I hope you mean your missing phone is still enrolled in Find My, but it is not visible because you think it is powered off. Please see Apple's detailed advice in If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

Aside from using Find My, the only step which can be taken is to ask the wireless carrier to blacklist it, and this will do nothing other than prevent it from being used on its network.

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