Lomberg gave the Panthers a 1-0 lead at 4:25 of the first period with a shot from the high slot after a turnover at the Golden Knights' blue line.
"We needed a big start, and I think the guys responded," Lomberg said. "For the last chunk of games, there has been no doubt that guys are going to show up. These are all big games, and this was a big win for us."
Barkov made it 2-0 at 4:05 of the second period, one-timing Anthony Duclair's centering pass past Hill's blocker.
Theodore cut it to 2-1 at 13:23 with a power-play goal when he beat Bobrovsky with a shot from the point.
"We stayed in the game, which was good," Vegas coach Bruce Cassidy said. "The way we start, we're never going to hang our hat on that, that's for sure. But after the first period, you sort of wonder, how's it going to go? And we eventually got ourselves in the game just because we were more competitive.
"When we start competing, we have good skill in the room, good talent, and all of a sudden, that'll start to surface. But you've got to be ready when the puck drops. And they were, we weren't. So, we'll take that part, the second part of the game."