To unlock the Lone Lion trophy in Assassin's Creed Odyssey, you must have purchased Episode 1 of the Legacy of the First Blade content (or own the Season Pass) and have it installed.
The lion only appears in one place, but luckily it's right next to a fast travel point -- Mount Athos in Makedonia to be exact. Look towards the cliff edge from your spawn point and you should immediately see a white-gold lion. Assuming you're fairly high levelled, it shouldn't be hard to defeat; it's certainly nothing compared to the Daughters of Artemis hunts in the base game.
As soon as you kill the lion the trophy should unlock.