Translation:We do not have food, but at least we have water.
This is not an example of a sentence with an object pronoun. The teaching point here is the idiomatic construction "por lo menos," which does not use an object pronoun, but rather a different grammatical feature, the neuter lo construction (that which, that which is). This is not related grammatically to object pronouns, but rather to articles. Wrong lesson, Duolingo!