If you are talking about the hand lantern variety, they are probably drilled out for the reason you suspect. I would also suspect they are missing the pot if this is the case.
I have noticed that some antique shops think that any railroad lantern they have are worth their weight in gold. I would watch eBay to see what collectors are actually paying for different types of lanterns.
Yeah, i found a CNR 1910' or 20's era Conductor or Tail-End brakeman's lantern, with an almost cobalt blue lens, for $127.00, i saw some on e-bay, but you have to be careful. I got mine at an Antique Mall at The Forks in Winnipeg. Check out this link for the photos.
http://www.facebook.com/photo.php?pid=1349827&id=869615452
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