The best answer I can give you is: no, there
is no LARGE pocket of air under frozen lake
water. Usually when water freezes on the top
of a lake, it will have the water underneath it to
support the formation of the ice, so there is
never an air pocket. If for some reason the lake
drained (water was pumped out?) the ice would most
likely collapse at a certain point because
that situation may well cause a vacuum to form.
However, there could be a small pocket of air from
some strange rock abnormality at the surface, but
on average, I'd say no. There are situations where
methane gets caught under ice, but that is due to
decomposition of organic material as a lake thaws.