Lam walked out and later delivered her address by video, as pro-democracy lawmakers held up placards showing her waving with hands colored blood-red.
The mask ban applies to all public gatherings, both unauthorized and those approved by police.
Protesters have clogged the city's streets in recent weeks demanding that she withdraw the controversial legislation and resign. She has refused to do either.
Police fired tear gas at hundreds of protesters who stormed the legislature on Monday, the 22nd anniversary of Hong Kong returning to Chinese rule.
Activists denounced Beijing’s “interference” amid widespread reports of lobbying of voters to back Lam, rather than Tsang.