Recently, neural techniques have been used to generate source code automatically. While promising for declarative languages, these approaches achieve much poorer performance on datasets for imperative languages. Since a declarative language is typically embedded in an imperative language (i.e., the turducken-style programming) in real-world software development, the promising results on declarative languages can hardly lead to significant reduction of manual software development efforts. In this paper, we define a new code generation task: given a natural language comment, this task aims to generate a program in a base imperative language with an embedded declarative language. To our knowledge, this is the first turducken-style code generation task. For this task, we present Lyra: a dataset in Python with embedded SQL. This dataset contains 2,000 carefully annotated database manipulation programs from real-world projects. Each program is paired with both a Chinese comment and an English comment. In our experiment, we adopted Transformer, BERT-style, and GPT-style models as baselines. In the best setting, the generation performance of GPT-style models is better than others, where the AST exact matching accuracy is 24% and 25.5% when using Chinese and English comments, respectively. Therefore, we believe that Lyra provides a new challenge for code generation. Yet, overcoming this challenge may significantly boost the applicability of code generation techniques for real-world software development.