Is it correct to say Win-win lottery?

Win-win usually means a situation in which every person involved benefits.

A lottery that paid out more than the ticket price to every purchaser would be very unusual. Enough lottery operators have heard of how Voltaire became wealthy that such things are rare these days. And the lottery operators are unlikely to view themselves as benefiting.

So I'm going to presume you mean that everybody gets at least a small prize. Probably that should have a more descriptive name such as "lottery with consolation prizes" or some such thing.