I have been dealing a lot with Lua in the past few months, and I really like most of the features but I\'m still missing something among those:
Because it's unnecessary¹. There's very few situations where a dev would need it.
A) When you have a very simple loop, say a 1- or 2-liner, then you can just turn the loop condition around and it's still plenty readable.
B) When you're writing simple procedural code (aka. how we wrote code in the last century), you should also be applying structured programming (aka. how we wrote better code in the last century)
C) If you're writing object-oriented code, your loop body should consist of no more than one or two method calls unless it can be expressed in a one- or two-liner (in which case, see A)
D) If you're writing functional code, just return a plain tail-call for the next iteration.
The only case when you'd want to use a continue keyword is if you want to code Lua like it's python, which it just isn't.²
Unless A) applies, in which case there's no need for any workarounds, you should be doing Structured, Object-Oriented or Functional programming. Those are the paradigms that Lua was built for, so you'd be fighting against the language if you go out of your way to avoid their patterns.³
Some clarification:
¹ Lua is a very minimalistic language. It tries to have as few features as it can get away with, and a continue statement isn't an essential feature in that sense.
I think this philosophy of minimalism is captured well by Roberto Ierusalimschy in this 2019 interview:
add that and that and that, put that out, and in the end we understand the final conclusion will not satisfy most people and we will not put all the options everybody wants, so we don’t put anything. In the end, strict mode is a reasonable compromise.
² There seems to be a large ammount of programmers coming to Lua from other languages because whatever program they're trying to script for happens to use it, and many of them want don't seem to want to write anything other than their language of choice, which leads to many questions like "Why doesn't Lua have X feature?"
Matz described a similar situation with Ruby in a recent interview:
The most popular question is: "I’m from the language X community; can’t you introduce a feature from the language X to Ruby?", or something like that. And my usual answer to these requests is… "no, I wouldn’t do that", because we have different language design and different language development policies.
³ There's a few ways to hack your way around this; some users have suggested using goto, which is a good enough aproximation in most cases, but gets very ugly very quickly and breaks completely with nested loops. Using gotos also puts you in danger of having a copy of SICP thrown at you whenever you show your code to anybody else.