I tried to install that package but it says that the package is already up to date
sudo apt-get install -y liblzma-dev

Reading package lists... Done
Building dependency tree       
Reading state information... Done
liblzma-dev is already the newest version (5.1.1alpha+20120614-2ubuntu2).
0 upgraded, 0 newly installed, 0 to remove and 2 not upgraded.

So it wasn’t missing in the first place…