How can I set the weather to my lock screen

You cannot see it on the main lock screen but you can add it as a widget, then swipe from left to right on the lock screen to view it. This assumes you have iOS 10 or later.

Use Widgets on your iPhone, iPad, and iPod touch - Apple Support

You can add the Weather Widget to the Today View screen, but not to the main Lock Screen.

The Today View screen can be accessed by swiping to the right on the lock screen.

To add a Widget there, scroll to the bottom, and tap on the "Edit" button. The scroll down to find the widget you wish to add, and tap on the ➕ next to it.

More details here:

Use Widgets on your iPhone, iPad, and iPod touch - Apple Support