You need to first get the lemmas then iterate over your lemmas and get the names then check the membership with in operand:
>>> a in [j.name() for i in wn.synsets('change') for j in i.lemmas()]
True
>>> [j.name() for i in wn.synsets('change') for j in i.lemmas()]
[u'change', u'alteration', u'modification', u'change', u'change', u'change', u'change', u'change', u'change', u'change', u'change', u'variety', u'change', u'change', u'alter', u'modify', u'change', u'change', u'alter', u'vary', u'switch', u'shift', u'change', u'change', u'change', u'exchange', u'commute', u'convert', u'exchange', u'change', u'interchange', u'transfer', u'change', u'deepen', u'change', u'change']
