I have often heard "in lessons" or "in class." Ex: "We're learning about pie crust in my baking class this week." "I practice scales and arpeggios in my music lessons."
This instance of "in" would indicate "during" and not location.
It may be the official rule that at is typically used for activities, but I have never heard in and been struck by it as unnatural or unidiomatic.
Edited to add:
I think a commenter on the deleted answer was correct to say that "What do you do at the music lessons?" and "What do you do in the music lessons?" are both correct grammar, with the former seeming like a more general question and the latter more specific.
I think it's relevant to compare two sets of sentences:
"What do you do at work?" which is perfectly grammatical and "What do you do in work?" which strikes me as odd. Perhaps this is because this is typically a general question, as it's somewhat peculiar to interrogate others about the details of their daily work.
"What do you do at school?" and "What do you do in school?" are both questions that seem naturally phrased to me. The first could be answered with more general statements (I attend class, eat lunch, see my friends) as these are all activities that take place at the school. I think the second calls for a more specific answer (I study economics, I major in physics).