This anchor lamp represents a common nautical lamp. As these things came in many sizes, it will represent a large lamp in HO or an average size in S. It could even be used for a small one in O scale. Ar least one gentleman will be using it in N scale, as a large lamp- without obvious scale references next to it, and with the added distraction of the light inside, it will fit in well.
The lens should be fabricated from a 3/16" length of 3/16" outside diameter clear tube- either Plastruct clear acrylic, or even the vinyl sleeves commonly found protecting the bristles on small paint brushes.
The bottom is cored out to allow installation of a small bulb or LED.
The lens could be coloured, if desired, using Tamiya's transparent paints.
I recommend adding small lengths of fine wire or .010" styrene rod to simulate the "cage" structure.