HelveticaNeue-Light is a common font on Mac OS X and iOS devices. It is most likely not installed on Android, Windows or other platforms. You’re just getting a warning and Corona SDK will fall back to use native.systemFont, which on Windows will be Arial. On older Android devices will be DroidSans and on newer Android devices a flavor of Roboto.
Likely in your code somewhere is a display.newText() call that’s trying to use “HelveticaNeue-Light”. You can simply replace that font with either the internal name of your font (faster) or the filename of the font (more flexible, easier) to use your custom font.
Please see: https://docs.coronalabs.com/guide/system/customFont/index.html
(And seeing your code as @JonPM requested) will still be helpful to make sure of what’s going on)
Rob