"A person of X" construction is normally used when X is a characteristic of the person, the place they are from, or their circumstances or "station". For example, "a person of European descent", "a person of wealth/influence", or "a person of color". "X" is typically something fundamental, a defining characteristic. It isn't normally used to describe a trivial or temporary condition.
Because of that, it is sometimes used as humor based on misapplication of language. "The person of lost umbrella" is something someone might say as humor because it would elevate a lost umbrella to a defining characteristic of the person. For example, somebody who was always losing their umbrella might be referred to jokingly in that way, as if losing their umbrella was fundamental to who they are as a person. And using "the" instead of "a" would further elevate it as a defining condition unique to that person.
"The person whose umbrella is lost" would be correct, but a little clunky for a native speaker. Aritra Saha's answer of "the owner of the lost umbrella" would be a more natural way to say it. That would focus on the person. For example, supposed you had just been talking about the person and couldn't remember the person's name, but you had been discussing the fact that the person had lost their umbrella. You might refer to them as "the person with the lost umbrella". Or if the person had just claimed the umbrella from the Lost and Found department, "the owner of the lost umbrella".
If the focus was the umbrella, you might talk about how to find "the lost umbrella's owner".