Some Jackery power stations are not designed with a separate dust cover for the cigarette lighter port, so it was not missing from your package.
The port itself is designed with basic dust protection to help reduce dust entry during normal use. However, if you would prefer additional protection, you can easily find compatible covers online or on Amazon by searching for “DC power socket cover” or “cigarette lighter socket dust cover.”
There are many universal options available, and most of them should fit well.