The problem with the references is that they simply cannot be found in that scope, what you could do is introduce a qualified name and use that in your cross-reference and change your grammar accordingly, ie:-
QualifiedName:
ID ('.' ID)*;
Relationship:
name=ID ":" newEntityName=ID "->" refName=[Attribute|QualifiedName];
Now it should be possible to reference by using the qualified ID:
ENTITY_RELATIONSHIP {
auction_lots : lot_id -> auctionHouse.lots.id0
auction_lots : auction_id -> auctionHouse.auctions.id1
}
If you can't change the grammar like this to make use of the default way Xtext handles names then you would need to look into providing your own qualified names, a great article for that is this Qualified Names Article