I looked into that too when helping out with the NeoLemmix menu redesign. I made the title graphic in NeoLemmix using a font called Cooper. It may also go by Cooper Black, Cooper STD. The actual font used for the original box art is likely hand drawn original font art and not like a digital font one could just download and use. Most Psygnosis games have beautiful box arts with equally beautiful font art. While it's probably pretty easy to find the artist for Lemmings' box art, I'm not sure if that same person did the title font. Not sure.
Cooper gets kinda close. You may search for cooper-like fonts to find one closer, ones with thick rounded serifs. You could probably warp and stretch Cooper to get it pretty darn perfect. I think Cooper is an adobe font. I have an old copy of photoshop, so it probably came with that. However, I'm sure there's other ways to get it.