If you navigate to the lookup in the Lookup Editor app, is there a "Revert to previous version" button? I don't know exactly how it works (i.e. what triggers a backup), but Splunk does, in some cases, save backups in a subfolder of the lookup directory on the file system. I'm fairly confident that there is always a backup saved when lookups are modified via the "import" feature. Outside of that, I'm not sure.