You can walk an iguana on a leash. But it takes some effort to get them comfortable with the process. Most iguanas will roll aggresively when leashed. Give the iguana some time to get used to the leash indoors before taking the iguana for a walk.
While you can, it is not advised to do so. Many lizard "leashes" aren't safe, and the iguana itself can potentially cause harm to you, other people and their pets.