Hi @pwei94 mentioned, what Lumia is it?
The reason is that the menu scheme is different between Windows Phone 8 and Windows 10 Mobile, but either way, a Soft Reset will always fix Internet APN issues.
To complete a Soft Reset, press and hold the Power button and Volume Down buttons for about 10 seconds until the screen goes blank and the phone vibrates. This won't remove any data nor settings. Also make sure Mobile Data connection is ON.
If the phone is Windows 10 device, then there's a Help guide in my signature which includes screenshots.