尝试写过，但是得到了编译错误："The yield statement cannot be used inside an anonymous method or lambda expression". 我想不出不支持的理由，最终在网上找到了解释(http://stackoverflow.com/questions/1217729/in-c-why-cant-an-anonymous-method-contain-a-yield-statement)：
Good question. I would love to have anonymous iterator blocks. It would be totally awesome to be able to build yourself a little sequence generator in-place that closed over local variables. The reason why not is straightforward: the benefits don't outweigh the costs. The awesomeness of making sequence generators in-place is actually pretty small in the grand scheme of things and nominal methods do the job well enough in most scenarios. So the benefits are not that compelling.
The costs are large. Iterator rewriting is the most complicated transformation in the compiler, and anonymous method rewriting is the second most complicated. Anonymous methods can be inside other anonymous methods, and anonymous methods can be inside iterator blocks. Therefore, what we do is first we rewrite all anonymous methods so that they become methods of a closure class. This is the second-last thing the compiler does before emitting IL for a method. Once that step is done, the iterator rewriter can assume that there are no anonymous methods in the iterator block; they've all be rewritten already. Therefore the iterator rewriter can just concentrate on rewriting the iterator, without worrying that there might be an unrealized anonymous method in there.
Also, iterator blocks never "nest", unlike anonymous methods. The iterator rewriter can assume that all iterator blocks are "top level".
If anonymous methods are allowed to contain iterator blocks, then both those assumptions go out the window. You can have an iterator block that contains an anonymous method that contains an anonymous method that contains an iterator block that contains an anonymous method, and... yuck. Now we have to write a rewriting pass that can handle nested iterator blocks and nested anonymous methods at the same time, merging our two most complicated algorithms into one far more complicated algorithm. It would be really hard to design, implement, and test. We are smart enough to do so, I'm sure. We've got a smart team here. But we don't want to take on that large burden for a "nice to have but not necessary" feature. -- Eric
大致意思就是说，要重写编译器以支持在Lamdba表达式或者匿名方法中进行yield return，工作非常复杂，而且成本很高，远不及其带来的好处。不知道这个解释是什么意思，个人感觉将来还是会支持的。目前来说，其实也不构成太大的不便，只是不能写特别ws的代码罢了。