There are two available;
- First lantern is available from the Drider. Taking it from him you can either keep it as a lantern or release the pixie inside which grants you a permanent buff so you no longer need a lantern at all
- Second lantern is available within the necromancer's room on the second floor at Moonrise
Even if you don't have a lantern initially, you can still get to Moonrise easily by going as far south along the coast as you possibly can and then rushing to Moonrise docks. Drink a necro-resist potion or use Loviathar's mace which has the passive resistance and run like hell. Karlach even has an inspiration for reaching both Last Light Inn and Moonrise without ever using a lantern.