I did some measurements. The coin cell is pumping out about 40mA at around 2V, i.e. 0.08 watts. Measurements on the other end are about 0.15mA x 140V, i.e. 0.21 watts. So about 25% efficiency..
The low voltage is because the current draw is excessive for this type of battery, which is rated at about 3mA continuous and about 30mA peak. The voltage drops rapidly over time.