You don’t need Linq, but you do still need custom code (in BIDS go to Report -> Report Properties -> Code)
You can put a RemoveDuplicates function in here, something like this:
Public Shared Function RemoveDuplicates(m_Array As Object()) As String()
System.Array.Sort(m_Array)
Dim k As Integer = 0
For i As Integer = 0 To m_Array.Length - 1
If i > 0 AndAlso m_Array(i).Equals(m_Array(i - 1)) Then
Continue For
End If
m_Array(k) = m_Array(i)
k += 1
Next
Dim unique As [String]() = New [String](k - 1) {}
System.Array.Copy(m_Array, 0, unique, 0, k)
Return unique
End Function
To use it in your Join:
Join(Code.RemoveDuplicates(LookupSet(...)),",")