You need to move Select() inside SelectMany() so that it can close above key :
ModelState.Keys.SelectMany(key => this.ModelState[key].Errors.Select(x => key + ": " + x.ErrorMessage));
This would be simpler as an understanding of the request:
from kvp in ModelState from e in kvp.Value.Errors select kvp.Key + ": " + e.ErrorMessage
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