Although @thecoop's answer is correct, there is another aspect of the lambda mechanism worth mentioning.
Lambdas with block bodies fall into two categories: void-compatible and value-compatible.
The lambda in the question is both, because it cannot complete normally (due to the unconditional exception throw) and all the return statements in there are both valueless and returning a value, seeing as there's no return statement at all.
Most lambdas however are either one or the other. And if the lambda is only void-compatible, then the lambda will only be compatible with Runnable.
What is slightly counter-intuitive (but logically correct) is that even though the lambda in the question never returns a value, it is classified as "always returning a value when there's a return".