That’s not possible. There are two seperate concepts and the compiler doesn’t allow both in the same construct. First there are anonymous methods / lambda expressions. Second there are the so called generator / iterator methods (aka methods with “yield” that return either IEnumerator or IEnumerable).
The short answer is: The C# compiler simply doesn’t allow an anonymous method or lambda expression to be an iterator. If you want the long answer see the linked posts of Eric Lippert over here on SO. Eric Lippert was in the Microsoft development team that created the C# compiler.