I have been searching for such a statement in the book,https://www.math.ucdavis.edu/~hunter/book/pdfbook.html but I can't find any! (Any reference for such a statement in that book would be most helpful!)
The closest thing I could find here is Theorem 12.50 on page 354 saying that w.r.t the Lebesgue measure the compactly supported continuous functions are dense in $L^p$. Does the corresponding statement about compactly supported Lipschitz functions with arbitrary measures somehow follow from this?
Even stronger, $C^{\infty}$-smooth functions with compact support are dense in $L^p(\mathbb R^n)$ with the Lebesgue measure (where $1\le p < \infty$). Of course, the class of compactly supported Lipschitz funtions is a larger class than that of smooth, compactly supported functions.
For a proof of the above result, see for example Theorem 3 here: http://texas.math.ttu.edu/~gilliam/f06/m5340_f06/mollifiers_approx.pdf