I don't know of anyone who has built Lua in LabWindows/CVI here at NI, now that doesn't mean no one ever has, but we do not have any documentation on such a process. I took a brief look at the source code available from the official Lua website, and it seems like you should be able to compile it in CVI as long as there isn't any code that conflicts with the ANSI 89 standard to which CVI's compiler is compliant. If you simply want to use Lua in CVI then that should be no problem since it has a built-in C API that you should be able to call from CVI.
I tried to build Lua within CVI but ran into some problems. There are a few functions (e.g. _popen and _pclose) that are not directly supported.
Thanks again! I am working on an embedded CVI-RT project and I need on a embeddable script engine. Lua looks to be a good candidate.