How do you say lair in Navajo?

If by lair you mean a den or home of an animal then it would depend on the animal. A bear's home or den would be: shash bighan, a wolf den: mąʼiitsoh bighan. Bighan means his/her/it's home, bi is the pronoun.

A cave would be tsé'ą́ą́d.

The marks above vowels mean high tone. The comma sort of thing under the a makes in nasalized. The mark up high like a apostrophe is a glottal stop consonant. The ts is said like in English its . The gh is a g with more aspiration in your throat, sort of like in Scottish loch.