Did you click claim on another vault or something?
Same issue here. I updated, like, an hour ago and came here to see if I'm doing something wrong. I loaded my vault, checked my lunchbox menu (empty), my storage, the lunchbox store, and clicked each of my dwellers in case it appeared in the new item slot on one of them. No luck.
Is there somewhere else I should be looking? There's a claim button? Where should that appear?
Edit: Popped up this morning, about five minutes into playing. Maybe it was waiting for my daily report? Either way, got it eventually. Pets are a pretty cool addition!