"I'm living a lie" is an expression which turns "living" into a sort of pseudo-transitive verb. "I'm living in a lie" doesn't quite mean the same thing.
"I'm living a lie" means that you are saying your whole life is a lie.
"I'm living in a lie" means that you are living within a lie, but your life is not a lie in whole necessarily.
Think of it like a box, where the box is a "lie"
The first sentence is saying that your life is that box.
The second sentence is saying that your life is contained within that box.
Hopefully that's not super confusing and answers your question, haha. xD :)