I'm not sure there is one. They're useful in C# as a way of defining a function within another function (which sometimes makes for more readable code). For example:

    public int CountRelevantItems(IEnumerable<Thing> things)
    {
      // Non-trivial filter that you don't want in a where lamdba
      Func<Thing, bool> isRelevant = (t) =>
      {
        ...
      }
      
      return things.Where(t => isRelevant(t)).Count()
    }

But in Python you can already define functions inside of functions so you have a better solution:

    def CountRelevantThings(things):
      def isRelevant(thing):
        ...
      return len(filter(isRelevant, things))