To answer your question as asked, you'd pre-fabricate the frame out of your
2x6s, stick it in the opening and use shim blocks at the points of attachment
to get it plumb and square take up the ~1 inch gap then fill the balance of
the gap with canned foam insulation.
If the opening is already reasonbly plumb and square you could rip strips of
1" stryofoam to take up the ~1" gaps.
Tapcon screws or lag bolts with expansion shields can be used to attach the
frame to the concrete. The holes for the lag bolts should be counterbored to
accommodate the heads of the bolts + washers.
That being said, rather than use a stock 36" door, I'd look at making a door
to fit, using 1/4" plywood skins glued onto a picture frame of 2x3 lumber,
filling the void with sheets of 1" +1.5" stryofoam, laminating the whole
schmozzle together to make a stressed-skin panel.
As a refinement, galvalume sheet could be applied to the exterior face if 48"
wide flat stock is available in your area (36" is more typical), with the
edges of the steel sheet bent with a lip to fit into saw kerfs milled into the
edges of the 2x3s.
In addition to providing a moisture-proff cladding for the plywood, it would
enable you to use magnetic weatherstripping to provide a good seal.
Any exposed foam around the door frame should be sprayed with a dilute
solution of boric acid to serve as a deterrent to ants before covering.
Really? Do they start nesting in the foam or something?
They could. While the foam in indigestible, it does provide an easy medim
which to bore into and is warm(er) in the winter.