Still, it would not hurt to give it a shot.
Warm oil might do more than cold oil. If you can figure out a safe way to warm up a PB Blaster filled container (hot plate maybe?)with the lantern in it you should get better penetration into the rust.
Just to give you something to compare to, I removed a burner cover from a dietz torch this summer, trying methods starting very gentle and finally suceceding with an "all or nothing" pipe wrench and a 4# hammer. I'm not saying to try a 4# hammer with the glass font in there, but that some amount of rotationally applied "tapping" may succeed where mere twisting with all your might doesn't work. Heck if I know how to do that without damaging something, but frustration often causes creative ideas to happen.
Good luck and let me know if you get it off.