So quite an interesting little problem, is that when you insert μ from insert -> special character -> symbols in Lyx, it won’t allow you to produce a pdf – it complains about fonts of sorts. The solution to inserting a μ into Lyx and allowing it compile is to do this using the Math menu. The E is the symbol for the Math menu.
When on this menu, hover over the icons until a little popup saying Greek is displayed. Click on this and then you are able to access all of the Greek symbols and insert them.