The ancients imagined that the Lyra represented the lyre of the divine singer Orpheus, after his tragic death. It was introduced by Ptolemy in the northern sky near the Milky Way between Cygnus and Hercules. Its brightest star is Vega, the third bright star in the sky after Sirius and Canopus, which, around the year 14000, will become the North Star due to the precession of the equinoxes.
According to another version, the Lyra is connected to the myth of Arion. He was a musician from Lesbos and had obtained by his master - the tyrant of Corinth - permission to travel through the South of Italy and Sicily, to earn money with his singing. When he was on his way back home, the sailors whose ship he had boarded plotted to kill him and rob him of his earnings.
However, Apollo came to him in a dream and warned him of the danger, promising his help. When the sailors attacked him, Arion asked - and obtained - to be allowed to sing his last song. At the sound of his voice, a school of dolphins surrounded the ship.
The dolphins were dear to Apollo, and in fact they are named after Delphi, where there was the main sanctuary of the god. Arion, trusting in Apollo's help, dived into the sea and was picked up by a dolphin, which led him to shore uninjured.
There Arion dedicated a votive offering to Apollo and then got back to Corinth, where he reported his adventure to his master. When the ship reached Corinth, the tyrant asked the sailors what had happened to Arion, and they told him that he had died during the voyage. When Arion showed up they were put to death.
In memory of that event, Apollo turned the lyre of Arion and the Dolphin into constellations.