The best way to stop your glass tealight lamp from getting dusty is to keep it clean, trim your wick, and regularly change the tealights.
Tealights are small candles, and a glass tealight lamp usually holds the tealight on a pedestal and shades it with a glass cover. These candles won’t drip the way regular tapers do, which saves you some mess, but there are the occasional splatters.
Soak the glass parts separately in hot water with mild dish soap, and scrub with a non-abrasive cloth or brush. As a final preventative step, spray glass cleaner on the glass tealight lamp and wipe, letting it dry in the sun (you can polish it with soft nylon or cloth after for added gloss).