Can not get FirstName and LastName columns for a custom lookup column using Query API

Can not get FirstName and LastName columns for a custom lookup column using Query API

For default lookup columns such as Owner, when executing the following query in Query API I was able to get data
{
    "select_query":"select Owner.first_name,Owner.last_name,Owner.id from Accounts where id is not null"
}

However I have created a custom lookup column and when executing the following query: 

{  

  "select_query": "select  Lookup_2.first_name, Lookup_2 .id, Lookup_2.last_name from Accounts WHERE id is not null limit 0,200"  

} 

I get the following error: 

{"column_name":"Lookup_2.last_name"},"message":"column given seems to be invalid","status":"error"}

Are FirstName and LastName columns exposed in custom lookup fields or only on default ones?

Note: I have executed the query above using only FirstName and the same error is thrown, but when using only Id the query is executed successfully.

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