I've never heard of anything you can do to deter the cicada killers from burrowing in your lawn. That said, the females dig burrows with their mouths, so encouraging a thick, dense lawn may make it difficult enough for them that they'll go elsewhere.
How short do you mow your lawn? Only mowing it to 2-1/2 inches tall or so from July to September (burrowing season) may help. The taller grass will make it more difficult for the wasps to get to the ground. This practice actually helps your lawn, too -- 2-inch-tall grass holds up to drought and other forms of stress better. And it tends to grow more thickly, shading out weeds.
That said, feeding your lawn in spring (around April 15th or so) and fall (Labor Day and Halloween) will also help your grass grow better --- making a thicker carpet that will give the cicada killers a harder time burrowing.
---Justin, Senior Garden Editor, BHG.com