https://github.com/rolandwalker/anaphora/blob/master/anaphora.el#L337

```
(defmacro anaphoric-lambda (args &rest body)
  "Like `lambda', but the function may refer to itself as `self'.
ARGS and BODY are otherwise as documented for `lambda'."
  (declare (debug lambda)
           (indent defun))
  `(labels ((self ,args ,@body))
     #'self))
```

Some versions ago it was working(it seems to me that for 24.4 it works).
(With cl-labels and lexical-binding I can do it, but it is not compatible
with older emacses.)

My current emacs-version is 25.0.50.1.