How to write interceptor for iterator?

ProxyAndEnumerable.cs

using System;
using System.Collections.Generic;
using System.Diagnostics;
using System.Linq;
using Castle.DynamicProxy;
using NUnit.Framework;

namespace MyApplication.Tests
{
    [TestFixture]
    public class ProxyAndEnumerable
    {
        [Test]
        public void ConnectionClosedByProxy()
        {
            // arrange
            var service = new MyService();
            var proxy = new ProxyGenerator()
                .CreateInterfaceProxyWithTarget<IMyService>(
                    service, new CloseConnectionInterceptor());

            // act
            proxy.GetList();

            // assert
            Assert.IsFalse(service.IsConnectionOpen);
        }

        [Test]
        public void IteratorLeavesOpenConnection()
        {
            // arrange
            var service = new MyService();
            var proxy = new ProxyGenerator()
                .CreateInterfaceProxyWithTarget<IMyService>(
                    service, new CloseConnectionInterceptor());

            // act
            proxy.GetEnumerable().ToList();

            // assert
            Assert.IsTrue(service.IsConnectionOpen);
        }

        class CloseConnectionInterceptor : IInterceptor
        {
            public void Intercept(IInvocation invocation)
            {
                try
                {
                    invocation.Proceed();
                }
                finally
                {
                    var hasConnection = invocation.InvocationTarget as IHasConnection;
                    if (hasConnection.IsConnectionOpen)
                    {
                        hasConnection.Connection.Dispose();
                        hasConnection.Connection = null;
                    }
                }
            }
        }

        interface IHasConnection
        {
            bool IsConnectionOpen { get; }
            Connection Connection { get; set; }
        }

        public interface IMyService
        {
            IEnumerable<int> GetEnumerable();
            IList<int> GetList();
        }

        class Connection : IDisposable
        {
            public bool IsDisposed { get; set; }

            public void DoSomething() { }

            public void Dispose()
            {
                IsDisposed = true;
                Debug.WriteLine("Connection closed");
            }
        }

        class MyService : IMyService, IHasConnection
        {
            private Connection _connection = null;

            public bool IsConnectionOpen { get { return _connection != null; } }

            public Connection Connection
            {
                get
                {
                    if (!IsConnectionOpen)
                        _connection = new Connection();

                    return _connection;
                }
                set { _connection = value; }
            }

            public IEnumerable<int> GetEnumerable()
            {
                for (int i = 0; i < 10; i++)
                {
                    // simulating getting results from database
                    Connection.DoSomething();
                    yield return i;
                }
            }

            public IList<int> GetList()
            {
                return GetEnumerable().ToList();
            }
        }
    }
}