Casting anonymous types to interfaces has been something I've wanted for a while but unfortunately the current implementation forces you to have an implementation of that interface.
The best solution around it is having some type of dynamic proxy that creates the implementation for you. Using the excellent LinFu project you can replace
select new
{
A = value.A,
B = value.C + "_" + value.D
};
with
select new DynamicObject(new
{
A = value.A,
B = value.C + "_" + value.D
}).CreateDuck<DummyInterface>();