Why is this true?
I think I can find a countable union of compact sets $\cup_{k=1}^\infty X_k$ such that $\cup X_k \subseteq U$ and the lebesgue measure of $U \setminus \cup X_k$ is zero.
(for any $k\in \mathbb{N}$, we can find a closed set $Y_k \subset U$ such that $\lambda(U\setminus Y_k)<\frac{1}{k}$. (Take $X_k=B(k)\cap Y_k$ where $B(k)$ is the ball of radius $k$.)
But that doesn't solve the problem.