Laser Interferometer Space Antenna (LISA) might detect gravitational waves from mergers of massive black hole binaries strongly lensed by intervening galaxies. The detection of multiple gravitational lensing events would provide a new tool for cosmography. Constraints on cosmological parameters could be placed by exploiting either lensing statistics of strongly lensed sources or time-delay measurements of lensed gravitational wave signals. These lensing methods do not need the measurement of the redshifts of the sources and the identification of their electromagnetic counterparts. They would extend cosmological probes to redshift z≲ 10 and are then complementary to other lower or higher redshift tests, such as Type Ia supernovae or cosmic microwave background. The accuracy of lensing tests strongly depends on the formation history of the merging binaries, and the related number of total detectable multiple images. Lensing amplification might also help to find the host galaxies. Any measurement of the source redshifts would allow us to exploit the distance-redshift test in combination with lensing methods. Time-delay analyses might measure the Hubble parameter H0 with an accuracy of ≳10 km s-1 Mpc-1. With prior knowledge of H0, lensing statistics and time delays might constrain the dark matter density (δΩM≳ 0.08, due to parameter degeneracy). Inclusion of our methods with other available orthogonal techniques might significantly reduce the uncertainty contours for ΩM and the dark energy equation of state.