The lookup mechanism in Aurelius dataset works by searching the object instance. This if you have an association, say Invoice.Customer and a lookup table Customer, the instance in Invoice.Customer must be present in the table Customer.
That's not usually the case when you perform two queries, one to retrieve invoices, another to retrieve customers. In this case instances would be different.
This topic gives some ideas about what could be done: How to create lookup fields using XDataClient?