Goering had not one lion, but a total of seven, over the years, which were kept alongside other animals in a private menagerie at his estate at Carinhall.

The lions were supplied to him by Berlin Zoo when they were newly-weaned kittens, and Goering raised each only until it was too big to be safely handled. At that point, the animal would be returned to the zoo.

This was not a safe environment for them after 1943, when allied bombing of Berlin first began to impact seriously on the capital; about 750 animals were evacuated to to other zoos elsewhere in the country at this point, including those at Vienna and Mülhausen in Alsace. Those that remained did not fare well; about a third of the animal population was killed in a major air raid on 22 November in that year, and others had their enclosures destroyed, leading to rumours in the city of escapees prowling the streets of the capital. Seven big cats were among the casualties of this raid. Large numbers of the dead animals were eaten by hungry Berliners, and one witness recalled that "we had meat coming out of our ears" after this raid:

Many of the edible animals which had fallen victim to the air raid ended up in the pot. Particularly tasty were the crocodiles’ tails cooked tender in big containers; they tasted like fat chicken. The dead deer buffalo and antelopes provided hundreds of meals for man and beast alike. Later on bear ham and bear sausage were a particular delicacy.

Eight further air raids hit the zoo between January 1944 and February 1945, reducing much of the premises to rubble – though the place stayed open, as an aid to morale, throughout the conflict, closing only on 22 April 1945, with the Red Army at its gates.

Very few of the remaining animals survived the Soviet assault, and only one of the evacuated animals, a giraffe, returned to Berlin after the war, so it is probably safe to assume that Goering's lions were either killed during the conflict, or died of old age or accident after being evacuated during it.

Sources

Roger Moorehouse, Berlin at War: Life and Death in Hitler’s Capital 1939-45 (2010)

Kevin Praeger, War Zone Zoo: The Berlin Zoo and World War II (2018)

Jan Young, Goering: An Assessment (2019)

UPDATE 23 May 2020: An alligator which had been in Berlin Zoo and was gifted to Soviet forces at the end of the war and transferred to the zoo in Moscow died, aged in its 80s, on 22 May 2020.

Saturn, thought to be about 84, had been in the Soviet capital for 74 years. "For us Saturn was an entire era, and that's without the slightest exaggeration... He saw many of us when we were children. We hope that we did not disappoint him," the zoo said in a statement.