tl·dr : See last paragraph but one, below.
When I was in secondary school, in the Latin-Greek section of a school
where instruction was given in French, I learnt to call this letter
"lambda". However the official, unchangeable names as shown in the
"Greek and Coptic" Unicode reference file
http://www.unicode.org/charts/PDF/U0370.pdf are GREEK CAPITAL LETTER
LAMDA and GREEK SMALL LETTER LAMDA respectively. The small letter, but
not the capital, has under its official name there the commentary "=
lambda".
The names in all-caps used in Vim, and in particular by the optional
Unicode plugin by Christian Brabandt, but also at lines 179sqq of the
standard digraph.txt helpfile, are the official names published by the
Unicode Consortium. We shouldn't change them at will, even though I
too would use the name "lambda" with b for the Greek letter Λλ and
even though the English Wiktionary entry for "lamda"
https://en.wiktionary.org/wiki/lamda gives as definition "Misspelling
of *lambda*" with a Usage note: "This spelling appears in the Unicode
standard (U+0039B, U+003BB)."
So it appears that the use of the word LAMDA in those names is a
misspelling which was taken up in an official standard which cannot
ever be modified (because the rules of the Unicode standard include
never modifying the official name of a codepoint once it has been
defined, not even to correct an error). A deplorable fact, to be sure,
but I think that we have to live with that misspelled all-caps
unchangeable official name.
All hope is not lost, however. One thing we _could_ do, if Bram
agrees, is define help tags *Lambda* and *lambda* right where these
"official misspellings" are found in the digraph.txt helpfile. Then
":help Lambda" and ":help lambda" would bring us to the appropriate
digraphs.
Another thing which any Vim user should do who, like me, frequently
uses Greek letters absent from his/her keyboard, is commit to memory
the fact that digraphs for Greek letters are characterized by a Latin
letter followed by an asterisk: so ^K a * gives the letter alpha, ^K b
* gives the letter beta, ^K L * gives upper-case lambda, etc., with
the particularity that ^K s * is a "normal" sigma while the "final"
sigma is ^K * s. In addition, typing :dig! in Normal mode displays the
list of digraphs with section headers. You'll find the Greek alphabet
as part of the "Greek and Coptic" section.
Best regards,
Tony.