The Sky Lantern hasn't gone anywhere, it's just a very flighty pet.
But in all seriousness, we've updated the Sky Lantern so that users can manually add this pet to their collections again. This option should appear under Update Collection, in the section below Reimport Pets. Please let us know if the Sky Lantern isn't showing up there for you, thanks!
Feel free to browse through Perks N Peeves, my vanity pet collecting blog!