Your original post keeps changing! And I can't actually see why you would want to do this with a lambda function anyway: you might as well just declare the array in situ.
However ...
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#include <iostream>
#include <vector>
usingnamespace std;
int main()
{
auto fn = [](){ return vector<int>{ 0, 4, 9 }; };
for ( auto e : fn() ) cout << e << ' ';
}