What is meant by "finite group of Lie type" needs to be made precise. But at least the simple groups of Lie type in characteristic $p$ with a cyclic Sylow $p$-subgroup are easy to specify: these are the groups $\text{PSL}(2,p)$ with $p>3$ along with one twisted group usually denoted $^2 \text{G}_2(3)'$ with $p=3$ (which is isomorphic to $\text{SL}(2,8)$). Of course there are also some closely related non-simple groups of Lie type including a few very small groups with $p=2$

This is summarized on page 74 of my 2005 Cambridge Univ. Press book Modular Representations of Finite Groups of Lie Type along with what I hope are sufficient references to the scattered literature.

What is meant by "finite group of Lie type" needs to be made precise. But at least the simple groups of Lie type in characteristic $p$ with a cyclic Sylow $p$-subgroup are easy to specify: these are the groups $\text{PSL}(2,p)$ with $p>3$ along with one twisted group usually denoted $^2 \text{G}_2(3)'$ with $p=3$ (which is isomorphic to $\text{SL}(2,8)$). Of course there are also some closely related non-simple groups of Lie type including a few very small groups with $p=2$

This is summarized on page 74 of my 2005 Cambridge Univ. Press book Modular Representations of Finite Groups of Lie Type along with what I hope are sufficient references to the scattered literature.

P.S. Whether or not a finite group has a cyclic Sylow subgroup (for some prime) usually comes up in two contexts: blocks with a cyclic defect group (Brauer, Dade) and finite representation type for finite dimensional algebras including group algebras. Are there other motivations?