Actually, in Hebrew this means "to light" (as in, "from darkness to light" or "I walked towards the light") rather than "my light". The Hebrew prefix "le" or "li" means "to". The Hebrew word "li" means "to me", and would not be used in this context. "My light" in Hebrew would be "Or sheli" or "Ori".
Lior actually does mean 'my light'. Li (lamed yod) means 'mine, my, I have', etc. Just lamed as a prefix means 'to'. So 'to light' is incorrect, while 'my light' is correct.
The literal translation of this name is "To me a light", but I think it would best be translated to "I have a light". It surely doesn't mean "My light", that would be Ori (also a name)