There is no anonymous method way of doing what you want.
The closest you will come is class initialisers, which you touched upon in your question:
tblMain.Rows.Add(new TableRow() { Property = "SomeValue" })
What class initialisers allow you do is the { }
stuff that you see in the above line. So you could add the controls in less lines of code, but you don't really gain anything really, but it's a case of preference.
EDIT:
In response to the comment about doing this in one line of code, let me stop you right there. You need to look at the bigger picture here - how comprehensible do you think that one line of code would be to another developer who, may, have to look after that code if you're not around?
Also think about debugging. If you're stepping through the code and there is a problem with one of the controls, being able to hover the mouse over the variable name is a lot easier, and convenient, then having to wrap your head around a one-liner and trying to dig into properties via the immediate/locals window.
Trust me, I've worked with code like that before and the end result was I wanted find the developer responsible and place their hands in a George Foreman grill set to 170C.
If you are the only developer who will ever look at this code, then fair enough. However, there is no way to refactor this code into a one-liner as far as I can see.