Python has semicolons. This is perfectly valid (though ugly and not recommended) Python code: f = lambda(x): x + 1; (5)
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There are many other problems with multi-line lambdas in otherwise standard Python syntax though. It is completely incompatible with how Python handles indentation (whitespace in general, actually) inside expressions - it doesn't, and that's the complete opposite of what you want. You should read the numerous python-ideas thread about multi-line lambdas. It's somewhere between very hard to impossible.
If you want arbitrarily complex compound statements inside lambdas you can't use the existing rules for multi-line expressions even if you made all statements expressions. You'd have to change the indentation handling (see the language reference for how it works right now) so that expressions can also contain blocks. This is hard to do without breaking perfectly fine Python code, and will certainly result in a language many Python programmers will consider worse in several regards: Harder to understand, more complex to implement, permits some stupid errors, etc.
Most languages don't solve this exact problem at all. Most candidates (Scala, Ruby, Lisps, and variants of these three) have explicit end-of-block tokens. I know of two languages that have the same problem, one of which (Haskell) has been mentioned by another answer. Coffeescript also uses indentation without end-of-block tokens. It parses the transliteration of your example correctly. However, I could not find any specification of how or why it does this (and I won't dig through the parser source code). Both differ significantly from Python in syntax as well as design philosophy, so their solution is of little (if any) use for Python.