I created a lambda function in AWS (Python) using "upload .zip" I lost those files and I need to make some changes, is there is any way to download that .zip?

Yes!

Navigate over to your lambda function settings and on the top right you will have a button called "Actions". In the drop down menu select "export" and in the popup click "Download deployment package" and the function will download in a .zip file.

Action button on top-right

A popup from CTA above (Tap "Download deployment package" here)