It’s called Lost Lake, and its disappearing act is all down to a lava tube. It happens when streaming lava cools and hardens at the top while the hot insides beneath the surface continue to flow downhill. The tunnel that’s left behind may open up a hole after an eruption or through erosion.
Several small streams flow into the Lost Lake, and they all drain into one (possibly two) of these large holes on the north side of the lake.(via:Bend Bulletin)