Linq to Objects - Performance

When looking for good practice content when doing LINQ I came across the following filter situation:

// Filtros
int idBairro = 8626;

1st way:

IQueryable<TesteConsulta> queryCidade = (from c in db.ERPCEPCidade
                                         select new TesteConsulta
                                         {
                                             idCidade = c.idCidade
                                         });

if (idBairro != 0)
{
    var queryBairro = (from b in db.ERPCEPBairro
                       where b.idBairro == idBairro
                       select new
                       {
                           idBairro = b.idBairro,
                           idCidade = b.idCidade
                       });

    queryCidade = (from c in queryCidade
                   join b in queryBairro on c.idCidade equals b.idCidade
                   select new TesteConsulta
                   {
                       idCidade = c.idCidade
                   });
}

2nd way:

IQueryable<TesteConsulta> queryCidade2 = (from c in db.ERPCEPCidade
                                          join b in db.ERPCEPBairro on c.idCidade equals b.idCidade
                                          select new TesteConsulta
                                          {
                                              idCidade = c.idCidade,
                                              idBairro = b.idBairro
                                          });

if (idBairro != 0)
{
    queryCidade2 = queryCidade2.Where(x => x.idBairro == idBairro);
}

In the first way I have the instance of 2 Iqueryable objects, in the 2nd way I have an instance only, however I have more data in the query, consequently in the return object and worse, it is possible that the filter is empty and I do not even use information.

The database looks like this:

1st Way:

SELECT 
    1 AS [C1], 
    [Extent1].[idCidade] AS [idCidade]
FROM [dbo].[ERPCEPBairro] AS [Extent1]
WHERE ([Extent1].[idCidade] IS NOT NULL) AND 
    ([Extent1].[idBairro] = 8626)

2nd Way:

SELECT 
    1 AS [C1], 
    [Extent1].[idCidade] AS [idCidade], 
    [Extent1].[idBairro] AS [idBairro]
FROM [dbo].[ERPCEPBairro] AS [Extent1]
WHERE ([Extent1].[idCidade] IS NOT NULL) AND 
    ([Extent1].[idBairro] = 8626)

With this information, I imagine that the first way is the most performative, but how can I be sure? and what other good practices could I apply to the query?.

Remembering: this is an example, I know that in this example the difference may be small, but when I have queries that bring 40,000 records, the cost is greater.