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};
    }
}

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.