Lights with an on-off switch are only on or off; if you say turn up the lights it would cause some confusion. However, lights on a dimmer can be turned on, turned off, turned up or turned down (or dimmed). Even if the light is on a dimmer, turning the lights up or down is only used in reference to a light that is already on and will be made dimmer or brighter.

Turn on the lights: the lights were off then they came on Turn up the lights: the lights were already on but the intensity of the brightness increased