A less limited Python Lambda
Naming:


λ is not a standard Python function name ([a-z] followed by [a-z0-9_]+) and will require figuring out some magic sequence in non-Greek keyboard layouts.
s0, s1, s2, lead and cd should be renamed to be more intuitive. For example, based on your documentation s1 could be named something like assignments.


General:


Rather than adding strings and newlines together I'd use format() and join(). It's easier to follow the construction of the string that way.
I would not recommend using this in production code. Treating strings as code is going to result in many more runtime errors which will be harder to debug than the corresponding named function.
λ does not accept functions without parameters - λ('print("value")')() for example results in IndexError.
Code construction and execution should be split up for easier debugging. I should be able to run construct_code(my_code_string) and see what would be executed for debugging.
I don't have the time to test this myself, but you should be able to get rid of the global rtrn by constructing an actual function and running that instead of creating global code.