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No, this issue is not specific to either eval or lambda:

>>> def f(g):
...   exec 'def h(x): return g(x)'
...   return h
...
>>> f(lambda y: y * 2)(17)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
  File "<string>", line 1, in h
NameError: global name 'g' is not defined

It is specific to creating a function at top-level in a separate 
execution environment, as done, by design, by both eval and 
exec, and with either a def statement or lambda abbreviation 
thereof.

In Python, lexical scoping works because nested functions are 
compiled along with the outer function, so that scoped variables 
can be identified and both functions adjusted so that the coupling 
works.  In particular, the scoped variable has to not be deleted 
when the outer function returns.  Eval/exec compile their string 
only later, when the function is called.

"it works that way because it is the way it works".
Those are your words, not mine.  If you want Python to work 
differently, write a PEP or a patch, or raise the question in the 
newsgroup/mailing list. I'm done discussing it here.