The Sky Lantern hasn't been updated on the Blizzard armory yet, so it will not show up as collected when you run an import.
As a temporary work-around (until Blizzard updates the armory to include the Sky Lantern), we've added the option to add the pet manually by going to the Update Pet Collection section, checking off the Sky Lantern and then saving.
Hope this helps!
Feel free to browse through Perks N Peeves
, my vanity pet collecting blog!