C#'s yield keyword forces the compiler to create a state machine in the background to support it. VB.Net does not have the yield keyword. But it does have a construct that would allow you to create a state machine within a function: Static function members.
It should be possible to mimic the effects of a yield return function by creating a generic class that implements IEnumerable as well as the needed state machine and placing an instance as a static member inside your function.
This would, of course, require implementing the class outside of the function. But if done properly the class should be re-usable in the general case. I haven't played with the idea enough to provide any implementation details, though.
