Ok, it seems we have a different problem... Meshes and splines are something very different and it's not possible to use "Convert to mesh" and "Convert to spline" tool. I guess you used some mesh, deleted most of it's points so you had only a few edges left and tried to lathe this; it doesn't work because what you have is still a mesh and it's not possible to cenvert it to spline.
Here it goes step by step what you should do:
1. You must select the "Curved path" tool in Object mode and draw the spline; look at
this part of the manual - it gives a full explanation on how to make/edit splines
2. When drawing the spline, remember that the new mesh will be created by rotating the spline around one axis; therefore some points of the spline should be placed directly on the axis.
Click here to display "Lathing" chapter in the manualHope this helps... Good luck