As the others have answered, "lambda" being a reference to "callback", but not limited to that. It's also a reference to techniques from functional languages (currying, map/filter/folds) that also apply to the module.

An example. lambda {} is a (lightweight) object capable of holding the state for you (like monads do), so the following (deliberatly simiplified) construct

lambda {
   read {
      sysread(...)
   write {
      syswrite(...)
   }}
}
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makes sure that a socket handle will only receive writing (and only writing) events after reading events were received.

With this approach, other functional tricks can be done, f.ex. a map analog will make sure that all lambda objects (connections, states) execute sequentially:

print mapcar( lambda { 1 + shift })-> wait(1..5);
23456
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where instead "1 + shift" there could be a full-fledged http connection, for example, or a DBI statement, or lock waiting procedure - all non-blocking, of course. So again, back to the question, it's mainly "lambda" because it shares some interesting hacks with functional programming.