The Nepali Bronze Lion is the thirty-ninth treasure that can be found in Uncharted 2: Among Thieves.
The Nepali Bronze Lion is found in Chapter 12 - A Train to Catch. Once you've killed all five enemies after arming yourself, you'll be free to explore the little courtyard you now occupy. This treasure is located on the ground level of the courtyard, down a short, dark little alleyway. Look along a locked gate to find its telltale glimmer, and then simply walk up to it and claim it as your own.