To understand the “display class” you have to understand closures. The lambda you pass here is a closure, a special type of method that magically drags in state from the scope of the method it’s in and “closes around” it.
…except of course that there’s no such thing as magic. All that state has to actually live somewhere real, somewhere that’s associated with the closure method and readily available from it. And what do you call the programming pattern where you associate state directly with one or more methods?
That’s right: classes. The compiler transforms the lambda into a closure class, then instantiates the class inside the hosting method so the hosting method can access the state in the class.
The only way to not have this happen is to not use closures. If this is really impacting performance, use an old-school FOR loop instead of a LINQ expression.