Alonzo Church did more than just invent the lambda calculus - he came up with
a useful notation for functions, lambda notation, which he describes on pp. 5-7 of his 1941 book on the lambda calculus [1]:
To take an example from the theory of functions of natural numbers,
consider the expression . If we say, " is greater than 1,000," we make a statement which depends on x and actually has no meaning unless x is determined as some particular natural number. On the other hand, if we say, " is a primitive recursive function," we make a definite statement whose meaning in no way depends on a determination of the variable x (so that in this case x plays the role of an apparent, or bound, variable). … We shall
hereafter distinguish by using … as the denotation of the corresponding function ….
In the 1950s, when John McCarthy was developing Lisp, he adopted Church's notation. His 1960 paper describing Lisp explains:
Functions and Forms. It is usual in mathematics—outside of mathematical logic—to use the word "function" imprecisely and to apply it to forms such as y^2 + x. Because we shall later compute with expressions for functions, we need a distinction between functions and forms and a notation for expressing this distinction. This distinction and a notation for describing it, from which we deviate trivially, is given by Church [citing Church [2]].
(He later said "To use functions as arguments, one needs a notation for functions, and it seems natural to use the lambda-notation of Church. I didn’t understand the rest of the book, so I wasn’t tempted to try to implement his more general mechanism for defining functions." [3] Nevertheless, Lisp comes surprisingly close to implementing a form of the lambda calculus.)
Proposals for incorporating anonymous functions into C++ date back to at least 1988 [4], only 9 years after the invention of C++, and the authors appear to have been well aware of the Lisp usage and adopted the name. The proposal which made it into the C++11 standard [5], and work leading up to it (e.g. [6], [7]) simply say (for example) "The term originates from functional programming and lambda calculus, where a lambda abstraction defines an unnamed function." [6]
So to answer your question: lambda expressions are related not so much to the full lambda calculus developed by Church, but to the lambda notation he invented to denote anonymous functions.
References
[1] Church, Alonzo. The calculi of lambda-conversion. Princeton University Press, 1941.
[2] McCarthy, John. "Recursive functions of symbolic expressions and their computation by machine, Part I." Communications of the ACM 3.4 (1960): 184-195.
[3] McCarthy, John. "History of LISP." History of programming languages I. ACM, 1978. url: http://jmc.stanford.edu/articles/lisp.html
[4] Breuel, Thomas M. "Lexical closures for C++." In Proceedings of the 1988 USENIX C++ Conference, pp 293-304, Denver, Colorado, 17-21 October. url: http://web.archive.org/web/20060221054001/https://people.debian.org/~aaronl/Usenix88-lexic.pdf
[5] Järvi, J et al. "Lambda Expressions and Closures: Wording for Monomorphic Lambdas (Revision 4)". url: http://www.open-std.org/jtc1/sc22/wg21/docs/papers/2008/n2550.pdf
[6] Boost.Lambda http://www.boost.org/doc/libs/1_62_0/doc/html/lambda.html
[7] Jarvi, J and and G. Powell. "The Lambda Library : Lambda abstraction in C++." Technical Report 378, Turku Centre for Computer Science, November 2000. url: http://web.archive.org/web/20060428170631/http://www.tucs.fi:80/publications/techreports/TR378.php
Bibliography
Graham, Paul, "The Roots of Lisp", 2001. http://www.paulgraham.com/rootsoflisp.html
van Emden, Maarten, "McCarthy’s recipe for a programming language", 2011. https://vanemden.wordpress.com/2011/10/31/mccarthys-recipe-for-a-programming-language/
Cardone, Felice and J. Roger Hindley, "History of Lambda-calculus and Combinatory Logic", 2006. https://github.com/aistrate/Articles/blob/master/Haskell/History%20of%20Lambda-calculus%20and%20Combinatory%20Logic%20(Cardone,%20Hindley).pdf