It appears that for running files using Lua plugin in CLion (http://www.jetbrains.com/clion/) you need to define Lua SDK. Originally Lua plugin was dedicated for Intellij IDEA and these settings were managed via File -> Project Structure -> Project -> Project SDK there. In CLion, where project configuration actually resides in CMakeLists file, there is no UI for that.
As a workaround one can modify project settings manually in “<project_folder>/.idea/misc.xml” file. Add project-jdk-name and project-jdk-type to the following line: <component name="ProjectRootManager" version="2" project-jdk-name="LuaJ" project-jdk-type="Lua SDK" />
However more convenient option is needed.