All the references I can find, from here:
http://msdn.microsoft.com/en-us/library/ms364047(VS.80).aspx#cs3spec_topic4
show that you have two options:
Action a = () => { throw new InvalidOperationException(); };
or
Action a = () => throw new InvalidOperationException()
Note the missing ; on the end. Yes, it makes no sense to me either. The examples they give  in the spec are:
x => x + 1                     // Implicitly typed, expression body
x => { return x + 1; }         // Implicitly typed, statement body
(int x) => x + 1               // Explicitly typed, expression body
(int x) => { return x + 1; }   // Explicitly typed, statement body
(x, y) => x * y               // Multiple parameters
() => Console.WriteLine()      // No parameters
Dunno how much help that is - I can't tell what context you are using it in, and not putting a ; on the end makes no sense in C#
the difference may be that it's an expression body - not a statement - if it doesn't have the {}. Which means that your throw is not valid there, as it's a statement, not an expression!