The list is also in /proc/modules but I think this is unavailable inside an openVZ container (in fact, I'd guess that's where lsmod gets its info, which is why it has none).
Keep in mind that even if you find a way to list loaded modules, just because inotify is not listed does not mean it was not built into the kernel. Put another way, listing loaded modules may not be very helpful if you do not know how the kernel is configured to start with, as a lot of things you may associate with a module can be configured in.
You are perhaps better off looking for a way to determine how to tell if inotify specifically is loaded.