Lunn was anxious to attend the Princeton Theological Seminary and in the fall of 1897 he enrolled there. However, near the end of his first year at Princeton the Spanish–American War erupted. He returned home to Omaha to take over a Presbyterian pastorate for the summer, where he was convinced to take a position offered him as a chaplain in the United States Army, holding the rank of Corporal as part of the Company A of the Third Nebraska Regiment. He spent the duration of the brief war stationed in Jacksonville, Florida.