If I lost my iPhone, how do I transfer my phone number to a new iPhone

Contact your carrier (cell phone company).

If it can be done, they are the ones who would know how to do it. This is a user-to-user forum, but even if Apple was here, they don't control the assignment of cellular phone numbers. The carriers do.

Did your carrier "blacklist" your "old" phone that was lost? If they did, it may not be possible to assign the same phone number that the "old" phone was using to a "new" phone.

The bottom line here is that you will need to contact your carrier to ask them about this. Apple would not be involved in this at all.