Just check the source:

515         /**
516          * Filter the Lost Password URL.
517          *
518          * @since 2.8.0
519          *
520          * @param string $lostpassword_url The lost password page URL.
521          * @param string $redirect         The path to redirect to on login.
522          */
523         return apply_filters( \'lostpassword_url\', $lostpassword_url, $redirect );

function passurl_wpse_208054($lostpassword_url, $redirect ) {
  return \'http://path/to/login/url\';
}
add_filter(\'lostpassword_url\', \'passurl_wpse_208054\', 10, 2);