The effect you’re encountering is called closures, when you define a function that references non-local variables, the function retains a reference to the variable, rather than getting its own copy.  To illustrate, I’ll expand your code into an equivalent version without comprehensions or lambdas.
inner_list = []
for m in [1, 2, 3]:
    def Lambda():
         return m
    inner_list.append(Lambda)
So, at this point, inner_list has three functions in it, and each function, when called, will return the value of m.  But the salient point is that they all see the very same m, even though m is changing, they never look at it until called much later.
outer_list = []
for x in inner_list:
    outer_list.append(x())
In particular, since the inner list is constructed completely before the outer list starts getting built, m has already reached its last value of 3, and all three functions see that same value.