We theoretically propose optical phonon lasing in a double quantum dot (DQD) fabricated on a semiconductor substrate. No additional cavity or resonator is required. An electron in the DQD is found to be coupled to only two longitudinal optical phonon modes that act as a natural cavity. When the energy level spacing in the DQD is tuned to the phonon energy, the electron transfer is accompanied by the emission of the phonon modes. The resulting non-equilibrium motion of electrons and phonons is analyzed by the rate equation approach based on the Born-Markov-Secular approximation. We show that lasing occurs for pumping the DQD via electron tunneling at a rate much larger than the phonon decay rate, whereas phonon antibunching is observed in the opposite regime of slow tunneling. Both effects disappear by an effective thermalization induced by the Franck-Condon effect in a DQD fabricated in a suspended carbon nanotube with strong electron-phonon coupling.