A lambda expression becomes an instance of a functional interface. I suppose it could be considered an anonymous inner class but reading through the JLS (https://docs.oracle.com/javase/specs/jls/se8/html/jls-15.html#jls-15.27), I don't see where it's explicitly called out as such. That would have to be something you'd deduce by following the syntax definition which starts with the definition of a LambdaBody. I tried following the link trail but it got too deep and I don't see any value in knowing whether or not it's implemented as an anonymous inner class, at least not from an application programmer's point of view. That's way too much detail that I'd rather have Java take care of for me so I don't have to care.
The best ideas are the crazy ones. If you have a crazy idea and it works, it's really valuable.—Kent Beck
It isn't. If you search the folder containing .class files you find an anonymous class causes a .class file to be created, called something like MyApp$1.class. You won't find such a .class file if you use a λ. You get an instance/object and, as Junilu says, that is all you need to know.