Simply object extension with provides an maybe monad.

gistfile1.cs

public static class ObjectExtensions
{
    public static IEnumerable<T> ToMaybe<T>(this T obj)
    {
        return Equals(obj,null) ? Enumerable.Empty<T>() : new[] {obj};
    }
}

lanwin is right. Since IEnumerable is lazy you need something which starts the process. Foreach() will do so but breaks the monad. Do() is something which stays in the monad and therefor keeps laziness.

A slight, but noteworthy difference. I don't know RX, so bare with me. I assumed that RX's Run() is the same as you have used it in your comment - which for me is a simple application like a commonly used ForEach-Extension does.

I wasn't aware of that "do" adds side effects without application. This fact actually is a clear indicator that i yet have a long learning path before me.