Objective-C equivalent to Java's anonymous classes in class methods

I want to set the delegate of an object inside a class method in Objective-C. Pseudo-code:

+ (ClassWithDelegate*) myStaticMethod {
    if (myObject == nil) {
        myObject = [[ClassWithDelegate alloc] init];
        // myObject.delegate = ?
    }
    return myObject;
}

In Java I would simply create an anonymous class that implemented the delegate protocol. How can I do something similar in Objective-C?

Basically I would like to avoid creating a separate class (and files) to implement a simple delegate protocol.