I had to google this one as it was a head scratcher for me too. Anyway, it turns out that these guys were a recon unit (hence lancers), under the 8th Army. Originally organized in Syria in April 1940, they were subsequently reorganized under British Army lines after transferring to Egypt in January 1941. They used Marmon Harrington armored cars and universal carriers, M3 Stuarts, and captured Italian and German vehicles.
Joe