does C# and VB lambdas have **scope chain** issues similar to javascript?

Question

I've read that due to how the scope chain works in javascript, if we wish to refer to a variable V within a function F that is not declared within the F's scope, it is beneficial (yes in terms of performance) to declare a local variable V2 in F that references V, then accessing the object referenced by V through V2.

i'm wondering if this concept applies to the closures in C# and VB (accessing local variables in functions through lambdas)

Public Shared Function Example()
    Dim a = 1
    Dim b = New Object
    Return Sub()
               'when we use the variables a and b from here does it have to "go up the scope chain"
           End Sub
End Function

btw i would prefer if the answer isn't premature optimization is the root of all evil