There is an app called ICE: In case of emergency. It puts medical information on the lock screen so that paramedics and doctors can access it if you are unable to respond. It could also put a "in case this is found" message. So it is possible to do such a thing. I wouldn't be surprised if there are some other apps for adding the simpler "in case this is found" message to the lock screen.
try Contact Owner. you can add a message and a contact number. you can add another contact in a text line below the contact thru the app, if you want. i have 2 contacts listed below "if found or in case of emergency, please contact:"
Executive Assistant is a nice app that can be used as a lockscreen and allows you to add your phone number to a "if found, please call xxx.xxx.xxxx"...