Is it possible to install OSX 10.7 without DVD and USB?
My iMac was not delivered with any external media, when you need to reinstall OSX you boot over internet from the BIOS! Is it possible to have the VM to do this or is the only way to buy som kind of external media accepted by Fusion?
If Mac OS X Lion came pre-installed on your Mac then you are not entitled to virtualize it per section 2A of its SLA therefore the issue of how to install it under this condition is moot.
If you legally purchase a copy Mac OS X Lion via the App Store or a OS X Lion USB Thumb Drive then you can virtualize it when done so in accordance with their respective SLA's.