Rockets with solid fuel must be round, or they would weigh more. Remember that the rear part is filled with fuel which gradually burns away, so the whole fuel container has to withstand the pressure which in the end propels the missile. Only a cylindrical body will do this efficiently. Depending on the routing of cables and the position of actuators, the aeroshell (the outer skin that defines the body of the missile) can be different from the casing of the rocket motor, however, structural efficiency favors to have a cylindrical body.
The throat of the rocket nozzle allows to position the actuators of the rear surfaces within the cylindrical contour and sometimes you will see a cable conduit running along the outside of an otherwise cylindrical fuselage.
For the turbojet-propelled missiles: their body shape is determined by their storage. Submarine-launched cruise missiles have the same diameter as a torpedo, for very practical reasons: They are meant to be launched from torpedo tubes.
Air-launched cruise missiles which are stored on rotary launchers have a rounded trapezoidal cross section, so more of them can be stored in a constrained space.
Regarding the myth of the efficiency-enhancing lift-producing fuselage: This has been laid to rest for more than half a century by now. What counts is the lift-to-drag ratio and producing lift is trivial when the minimal speed during your mission is somewhere around Mach 0.5.
At high dynamic pressure everything will produce ample lift. Now the goal has to be to do so with minimal drag. Using proper wings makes lift production very efficient, and the cross section of the fuselage will not have much influence here. As a slender body the fuselage produces lift mostly where its width increases, regardless of cross section shape.