I can't see any options about adding an emergency number which we can call when the lhone is locked. Like the number which shows there so if my phone is lost anyone can call it on emergency!
The one way I can think of is going to account.microsoft.com and navigating to devices and locking your device - that gives an option to display a number for a person to call in case you lose your phone
If you need additional help or have more questions or details to share, please join the site so you can reply in this thread. See this link for instructions on how to join Windows Central.