Generating a random, non-repeating sequence of all integers in .NET

Is there a way in .NET to generate a sequence of all the 32-bit integers (Int32) in random order, without repetitions, and in a memory-efficient manner? Memory-efficient would mean using a maximum of just a few hundred mega bytes of main memory.

Ideally the sequence should be something like an IEnumerable<int>, and it lazily returns the next number in sequence, only when requested.

I did some quick research and I found some partial solutions to this:

• Using a maximal linear feedback shift register - if I understood correctly, it only generates the numbers in increasing sequence and it does not cover the entire range
• Using the Fisher-Yates or other shuffling algorithms over collections - this would violate the memory restrictions given the large range
• Maintaining a set-like collection and keep generating a random integer (perhaps using Random) until it doesn't repeat, i.e. it's not in the set - apart from possibly failing to satisfy the memory requirements, it would get ridiculously slow when generating the last numbers in the sequence.
• Random permutations over 32 bits, however I can't think of a way to ensure non-repeatability.

Is there another way to look at this problem - perhaps taking advantage of the fixed range of values - that would give a solution satisfying the memory requirements? Maybe the .NET class libraries come with something useful?