Capturing a local variable is actually performed by “hoisting” the local variable into an instance variable of a compiler-generated class. The C# compiler creates a new instance of the extra class at the appropriate time, and changes any access to the local variable into an access of the instance variable in the relevant instance.
So the expression tree then needs to be a field access within the instance – and the instance itself is provided via a ConstantExpression.
The simplest approach for working how to create expression trees is usually to create something similar in a lambda expression, then look at the generated code in Reflector, turning the optimization level down so that Reflector doesn’t convert it back to lambda expressions.