I need some class attributes being populated by that lambda and self-referencing the class is obviously not possible at that stage.
But from your given code, all LAMBDA will do when it is called is itself call MyClass.ClassMethod(), which means the method doing the populating is ClassMethod (this is, of course, assuming that the body of ClassMethod is not actually that sole pass you have shown, because if it is then doing all this is an exercise in futility). Unless there's some aspect of your code that prevents you from referring to the class before using it for anything, why can't you call MyClass.ClassMethod() after the class definition?
And if you're trying to modify attributes of the class inside the definition (that is, calling LAMBDA within the definition of MyClass, outside of any methods/functions/whatever), you may want to take a look at the section of the documentation about metaclasses.
On a side note, if you want to assign attributes to a class, you don't even need to do so within the body of the class itself.
>>> class cls(object): # or just "class cls:"
... pass
...
>>> cls.value = 10
>>> cls.name = 'class'
>>> cls.value
10
>>> cls.name
'class'
>>> dir(cls)
['__class__', '__delattr__', '__dict__', '__doc__', '__format__',
'__getattribute__', '__hash__', '__init__', '__module__', '__new__',
'__reduce__', '__reduce_ex__', '__repr__', '__setattr__', '__sizeof__',
'__str__', '__subclasshook__', '__weakref__', 'name', 'value']