It can't be done right now
I've spent a few hours attempting it and I don't think it's possible with Parallels 6.0.12090 and Developers' Release 4 of Lion Server.
Lion requires a 64-bit CPU. I.e., a Core 2 Duo, an i3, an i5, or an i7. When I start Snow Leopard Server as a guest OS, About This Mac says that the processor type is unknown. I suspect that this prevents Lion Server from running.
My methodology:
1. Boot into Snow Leopard Server.
2. Attach an external HDD partitioned with GPT with an empty HFS+ partition on it.
3. Download Lion and its server components from the App store using the codes from the Mac Developer Program.
4. Run the OS installer, choosing the partition from step 2 as the target.
5. It'll do some stuff, make you reboot, install, make you set up, etc. until it's ready to log in to Lion Server.
6. Log in and set the boot partition to the internal HDD, then reboot to get back into Snow Leopard Server.
7. Use Disk Utility to create a .dmg copy of the partition from step 2. I called it lion.dmg. (This step and much of the following is necessary because Parallels doesn't support OS X Server as a guest OS nearly as well as it supports Windows.)
8. Use "asr --nostream --source lion.dmg" to prep the file for restoring. Wait for this to finish.
9. Place lion.dmg in a folder accessible via network file sharing.
10. Use Finder to copy an existing Snow Leopard Server guest VM to create a Lion Server guest VM.
11. Start Parallels and add this new VM, renaming it.
12. Open this new VM without starting it.
13. Add a new HDD, creating a 64 GB expanding disk. (I don't think the details are important but it should be a new disk.)
14. Start the virtual machine. It should come up into Snow Leopard Server without issue.
15. In the guest OS, use Finder to gain access to lion.dmg. This will likely require network sharing.
16. Use Disk Utility.app to restore lion.dmg to the new disk.
17. Shut down the guest OS.
18. Remove HDD 2 from the configuration, keeping the files.
19. Tell HDD 1 to use the image from step 13, the image that used to be HDD 2. At this point, we *should* have a fully functional VM with Lion Server installed.
20. Start the VM and watch as it continually reboots with the following message:
The virtual machine Quux was restarted.
The virtual machine processor was reset by the operating system.
I've tried a variation, such as keeping both HDDs attached and telling the VM to boot off the Lion Server one but I get the same result.