Why does ThenBy raise an exception in the following case? - vb.net

Question

I am using .NET 4.5 and I would like to understand the following:
If I execute this everything works as expected:
Dim lst = Enumerable.Range(1, 10)
Dim lstOrdered = lst.OrderBy(Function(i) i Mod 2)
Dim lst2 = lstOrdered.ThenBy(Function(i) -i)
However, the following raises a System.MissingMemberException
Dim lst = Enumerable.Range(1, 10)
Dim lstOrdered
lstOrdered = lst.OrderBy(Function(i) i Mod 2)
Dim lst2 = lstOrdered.ThenBy(Function(i) -i)
In the real code, we have to dynamically apply sometimes OrderBy and sometimes OrderByDescending and then dymaically continue with ThenBy and ThenByDescending. That's why I would like to declare it first.
Also note that the production code contains anonymous objects instead of integers.
EDIT
The following code it's closer to production and I don't seem to manage adapting to the provided answer. It compiles but throws an execution error.
Dim lst = Enumerable.Range(1, 10).Select(Function(i) New With {.a = "foo", .b = i Mod 2, .c = -i})
Dim lstOrdered As IOrderedEnumerable(Of Object)
lstOrdered = lst.OrderBy(Function(i) i.b)
Dim lst2 = lstOrdered.ThenBy(Function(i) i.c)
The error sais the following
Unable to cast object of type 'System.Linq.OrderedEnumerable`2[VB$AnonymousType_3`3[System.String,System.Int32,System.Int32],System.Int32]' to type 'System.Linq.IOrderedEnumerable`1[System.Object]'

Answer 1

In your second example, you didn't declare a type for lstOrdered. It should work if you change the second line to
Dim lstOrdered As IOrderedEnumerable(Of Integer)
Set Option Strict On to catch these errors at compile time. You can make the statement Option Strict On the first one in your code file, set that option as the default in Test|Options|Environment|Projects and Solutions|VB Defaults.