var marks =
from mark in marksList
join student in studentsList
on mark.StudentID equals student.ID
where (student.LastName == lastName) && (student.FirstName == firstName) && (student.SecondName == secondName)
orderby mark.SessionNumber ascending,
mark.Subject ascending,
mark.Status ascending
select mark;
foreach (var mark in marks) {
// здесь типа выводишь оценку, без вложенного foreach
Console.WriteLine ();
}