Three possibilities come to mind, in order of likelihood:
1. If the pantheon lightening bolt is displayed on the city title banner, then you probably need to set a citizen to work the natural wonder tile. It's not enough for the natural wonder to be inside your city's culture borders--you have to actually work that tile. If you don't know how to do that, go to the city screen, open the Citizen Management tab on the top right to display the manual assignment options, and then manually assign the citizen to work the natural wonder tile--but be aware that only a few natural wonders also yield food, so you may stagnate that new city until you build a granary or some other food building that doesn't require a working citizen).
2. If the pantheon lightening bolt isn't there, your new city might be in the process of acquiring another civ's religion. Hover over the city title banner to see what's up there. The pantheon followers seem to be the first to succumb to pressure from other civs. Unless your pantheon followers are in the majority, no pantheon benefits.
3. You don't say whether you've already founded a religion in your capital (I presume not), but once you found a religion, your pantheon belief no longer automatically follows you to new cities--you have to manually spread your religion or wait for pressure to do it for you.