Yes, it is supposed to have a bulb. The bulb is not part of the actual clock assembly, rather part of the wiring. You should have a long black piece of plastic with a bulb on the end that is wired into the system. That plastic piece slides into the back of the clock. If it didn't come with one, go to your nearest boneyard and find a GL with the clock assembly and take all of the wiring.
Normally the small clock has a bulb that fits in the small hole on the back (metal tube). It's connected to the back of the tach to provide 12V, and the housing that the bulb fits into makes contact with the metal body of the clock, providing the ground (a tab connected to the body is grounded via the tach). If you have a bulb housing with two connectors, you may need to wire each side, one to 12V and one to ground.