Array[Subscript[\[Lambda], #] &, {3}]
gives
{Subscript[\[Lambda], 1], Subscript[\[Lambda], 2], \
Subscript[\[Lambda], 3]}
However, if I try to generate two lists with different symbols and different lengths, the best I've come up with it
Inner[Function[{a, b},
Array[Subscript[a, #] &, b]], {\[Lambda], \[Mu]}, {2, 3}, List]
which gives
{{Subscript[\[Lambda], 1], Subscript[\[Lambda], 2]}, {Subscript[\[Mu],
1], Subscript[\[Mu], 2], Subscript[\[Mu], 3]}}
If I try to change Function to the # & notation, I run into a conflict in the variables
Inner[Array[Subscript[#1, #] &, #2] &, {\[Lambda], \[Mu]}, {2,
3}, List]
gives
{{Subscript[1, 1], Subscript[2, 2]}, {Subscript[1, 1], Subscript[2,
2], Subscript[3, 3]}}
Any suggestions?