Type Lambda λ on a Mac?
Press Command ⌘+Control ⌃+Space.
Type lamda into the search bar. Pay attention to type lamda instead of lambda.
Your lamda should be there:





You might ask why it is spelt lamda not lambda. 

According to the link provided by MJeffryes:


  The use of the spelling lamda derives from ISO 10646. This does not
  mean that it is more correct than lambda, merely that the spelling
  without the 'b' is the one used in the formal character names.


Here are two more links provided by Itai Ferber:


Proof that lamda is in the standard
Proof that lamda is in the standard since at least 1993




Here is a website about Mac keyboard shortcuts: https://support.apple.com/en-us/HT201236.