When downloading Lyra Source code from git, the content folders are not included.
To make use of the Lyra source code, you will need to download the content from the Unreal Marketplace through the Epic Games Launcher.
For more information please visit the Unreal Engine Lyra documentation
Once installed, copy the "Content" folder and any other folders named "Content" from the Marketplace project you downloaded to the project in your solution, and you should be good to go.
See the Unreal Engine README at the root of the repository for Licensing and Contributing information.