The question mark usually indicates an unresolved reference. I suppose you added the bibtex database to your document like this:
Select "Insert" --> "List / TOC" --> "BibTex Bibliography..." from the menu

In the dialogue box click on "Add..."

Click "Browse..."

Select the file you want (in this case: test.bib
)
Now, don't forget to confirm the dialogue boxes. Click on the highlighted buttons.

Select your style (natdin) and confirm.

Now you can use the "Send selection to LyX" feature in BibDesk.
This simple document here:

Renders as:

Here are the the two files:
test.bib
%% This BibTeX bibliography file was created using BibDesk.
%% http://bibdesk.sourceforge.net/
%% Saved with string encoding Unicode (UTF-8)
@url{philotue2013,
Author = {@philotue},
Title = {Das Schlimmste},
Url = {https://twitter.com/philotue/statuses/404515669007282176},
Year = {2013},
}
@webpage{EhmannForthcoming-EHMMUI,
Abstract = {[ENGLISH] The present article is a contribution to the development of metrological structural realism (MSR). This position of philosophy of science goes back to Matthias Neuber, who introduces it as a third variation of the main structural realisms: epistemic structural realism (ESR) and ontic structural realism (OSR). Here, Neuber attempts to tackle the problems of OSR and ESR while preserving their respective strengths. Of central importance to his approach, are the concepts of invariance, structure and, especially, measurement. Starting from Eino Kaila\textquoteright{}s \quotedblbase{}non-linguistic, realist account of logical empricism\textquotedblleft, the present article investigates the necessity of yet another position of structural realism. The established structural realisms are examined for their strengths and weaknesses. Afterwards, the requirements on MSR are formulated in a way that extends beyond Neuber\textquoteright{}s account. These requirements are of ontological, epistemological and metrological nature. Finally, a short outlook on the role of the present physical theories -- especially quantum mechanics -- for the formulation of MSR as a full-grown theory of philosophy of science is presented.
[DEUTSCH] Der vorliegende Aufsatz ist ein Beitrag zur Entwicklung des Metrologischen Strukturenrealismus (MSR). Diese Wissenschaftstheoretische Position geht auf Matthias Neuber zur\"u{}ck, der sie als dritte Spielart zwischen den gro\ss{}en Strukturenrealismen -- dem Epistemischen Strukturenrealismus (ESR) und dem Ontischen Strukturenrealismus (OSR) -- ansiedelt. Neuber versucht, die wissenschaftstheoretischen Probleme von ESR und OSR anzugehen, gleichzeitig aber ihre jeweiligen St\"a{}rken beizubehalten. Dabei sind die Konzepte der Invarianz, der Struktur und besonders der Messung von zentraler Bedeutung. Ausgehend von Eino Kailas \quotedblbase{}non-linguistic, realist account of logical empiricism\textquotedblleft untersucht der vorliegende Aufsatz die Notwendigkeit einer weiteren strukturenrealistischen Position. Dazu werden die etablierten Strukturenrealismen auf ihre St\"a{}rken und Schw\"a{}chen hin untersucht. Es folgt eine Ausformulierung der Forderungen an den MSR, die \"u{}ber die Darstellung bei Neuber hinaus geht. Diese Forderungen sind ontologischer, epistemischer und metrologischer Natur. Abschlie\ss{}end wird ein kurzer Ausblick zur Rolle aktueller, physikalischer Theorien -- insbesondere der Quantenmechanik -- bei der Formulierung des MSR als vollwertige, wissenschaftstheoretische Position gegeben.},
Author = {Alexander Ehmann},
Journal = {Philosophia Naturalis},
Title = {Messung Und Invarianz - Ein Beitrag Zum Metrologischen Strukturenrealismus},
Url = {http://philpapers.org/rec/EHMMUI},
Year = {forthcoming},
}
And test.lyx
:
#LyX 2.0 created this file. For more info see http://www.lyx.org/
\lyxformat 413
\begin_document
\begin_header
\textclass article
\use_default_options true
\maintain_unincluded_children false
\language english
\language_package babel
\inputencoding auto
\fontencoding global
\font_roman palatino
\font_sans default
\font_typewriter default
\font_default_family default
\use_non_tex_fonts false
\font_sc true
\font_osf true
\font_sf_scale 100
\font_tt_scale 100
\graphics pdftex
\default_output_format default
\output_sync 0
\bibtex_command bibtex
\index_command default
\paperfontsize 12
\spacing onehalf
\use_hyperref true
\pdf_bookmarks true
\pdf_bookmarksnumbered false
\pdf_bookmarksopen false
\pdf_bookmarksopenlevel 1
\pdf_breaklinks false
\pdf_pdfborder true
\pdf_colorlinks false
\pdf_backref false
\pdf_pdfusetitle true
\papersize a4paper
\use_geometry false
\use_amsmath 1
\use_esint 1
\use_mhchem 0
\use_mathdots 0
\cite_engine natbib_authoryear
\use_bibtopic false
\use_indices false
\paperorientation portrait
\suppress_date false
\use_refstyle 0
\index Stichwortverzeichnis
\shortcut idx
\color #008000
\end_index
\secnumdepth 3
\tocdepth 3
\paragraph_separation indent
\paragraph_indentation default
\quotes_language english
\papercolumns 1
\papersides 1
\paperpagestyle default
\tracking_changes false
\output_changes false
\html_math_output 0
\html_css_as_file 0
\html_be_strict false
\end_header
\begin_body
\begin_layout Standard
I was flabbergasted by this position.
\begin_inset Foot
status open
\begin_layout Plain Layout
\begin_inset CommandInset citation
LatexCommand cite
key "EhmannForthcoming-EHMMUI"
\end_inset
\end_layout
\end_inset
\end_layout
\begin_layout Standard
This claim
\begin_inset Foot
status open
\begin_layout Plain Layout
\begin_inset CommandInset citation
LatexCommand cite
key "philotue2013"
\end_inset
\end_layout
\end_inset
is wrong.
\end_layout
\begin_layout Quotation
\begin_inset CommandInset bibtex
LatexCommand bibtex
bibfiles "test"
options "natdin"
\end_inset
\end_layout
\end_body
\end_document
But you knew all this. So your problem must be elsewhere. Maybe you should check the encoding of your .bib
-file and/or post the LaTeX Log (in the menu under "Document").
A MWE would be nice too.