and welcome.
There's quite a lot I see incorrect in terms of asynchronicity, but I guess it only matters if there are concurrent users calling your server. This has to do with scalability and the thread pool in charge of spinning up threads to take care of your incoming HTTP requests.
You see, if you occupy a thread pool thread for a long time, that thread will not contribute to dequeueing incoming HTTP requests. This pretty much puts you in a position where you can spin up a maximum of around 2 new thread pool threads per second. If your incoming HTTP request rate is faster than the pool's ability to produce threads, all of your HTTP requests will start seeing increased response times (slowness).
So as a general rule, when doing I/O intensive work, always go async. There are asynchronous versions of most (or all) of the materializing methods like .ToList(): ToListAsync(), CountAsync(), AnyAsync(), etc. There is also a SaveChangesAsync(). First thing I would do is use these under normal circumstances. Yours don't seem to be, so I mentioned this for completeness only.
I think that you must, at the very least, run this heavy process outside the thread pool. Use Task.Factory.StartNew() with the TaskCreationOptions.LongRunning but run synchronous code so you don't fall in the trap of awaiting the returned task in vain.
Now, all that just to have a "proper" skeleton. We haven't really talked about how to make this run faster. Let's do that.
Personally, I think you need some benchmarking between different methods. It looks like you have benchmarked this code. Now listen to @tymtam and see if a stored procedure version runs faster. My hunch, just like @tymtam's, is that it will be definitely faster.
If for whatever reason you insist in running this with C#, I would parallelize the work. The problem with this is Entity Framework. As per usual, my very popular, yet unfriendly ORM, is giving us a big but. EF's DB context works with a single connection and disallows multiple simultaneous queries. So you cannot parallelize this with EF. I would then move to my good, amazing friend, Dapper. Using Dapper, you could divide the workload in threads, and each thread would do an independent DB connection, and through that connection, take care of a portion of the 200K result set you obtain at the beginning.
UPDATEthat calculates the JSON string and stores it. Assuming there's any benefit to generating such a string - it won't make querying easier or faster than joining with the related table. Few databases can index the contents of JSON columns