Apple just confirmed with 9to5mac that even with the Lightening-to-3.5mm adapter, lossless will not work. At least not currently.
"But what about AirPods Max? Well, we asked Apple about it too since users can plug in a Lightning cable with a 3.5mm connector to use it wired. Unfortunately, Apple also told us that “AirPods Max currently does not support digital audio formats in wired mode.” For AirPods owners, the only Apple Music supported feature will be Spatial Audio with Dolby Atmos."
Apple confirmed that Apple Music Lossless requires wired headphones. However, AirPods will get support for Spatial Audio with Dolby Atmos.
9to5mac.com