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 ();
}