Both animals lived in open bar cages with no heating.
Zoo authorities said the lion was too old to withstand the cold and the two-month-old lama too young to be taken from her mother and placed in a heated cage.
Animal care is not a priority in Macedonia, one of Europe's poorest countries. Conditions in most zoos are dire.
The country in recent days has been hit by what local media call a "polar winter", with temperatures plunging far below zero, especially in Bitola - the coldest city in the country with temperatures in the minus 20s.