There are two different scenarios that I'll consider:
- Entering the circular orbit from high altitude.
- Entering the elliptical orbit from low altitude.
Entering the circular orbit from low altitude will always take more fuel than entering the elliptical orbit, since you have to enter an elliptical transfer orbit of the same size (using the same $\Delta v$), and then make an additional burn at apoapsis to circularize your orbit. (Using aerobraking to replace the initial burn will change this.)
Similarly, entering the elliptical orbit from high altitude will always take more fuel than entering the circular orbit, since the elliptical orbit will have a slower speed at apoapsis, requiring a greater $\Delta v$.
I'll make the assumption that the hyperbolic excess velocity ($v_\infty$) upon entry is the same for both cases, that all the orbital intersections are parallel (no plane changes), and that all burns are instantaneous.
A circular orbit of radius $r_a$ requires a speed of $v_\text{circ}=\sqrt{\mu/r_a}$. Solving for the entry velocity using conservation of energy:
$$
\frac{v_\infty^2}{2} = \frac{v_\text{entry}^2}{2} - \frac{\mu}{r_a} \\
v_\text{entry} = \sqrt{v_\infty^2 + \frac{2\mu}{r_a}}
$$
The $\Delta v$ required is simply the difference between the two:
$$
\Delta v_\text{circ} = \sqrt{v_\infty^2 + \frac{2\mu}{r_a}}-\sqrt{\frac\mu{r_a}}
$$
In the second scenario, we have a periapsis velocity of:
$$
v_p = \sqrt{\frac{2\mu}{r_a+r_p}\frac{r_a}{r_p}}
$$
The entry velocity is almost the same, with $r_p$ in place of $r_a$, giving us:
$$
\Delta v_\text{ellip} = \sqrt{v_\infty^2 + \frac{2\mu}{r_p}}-\sqrt{\frac{2\mu}{r_a+r_p}\frac{r_a}{r_p}}
$$
Now, let's find under what conditions $\Delta v_\text{ellip} < \Delta v_\text{circ}$:
$$
\Delta v_\text{ellip} < \Delta v_\text{circ} \\
\sqrt{v_\infty^2 + \frac{2\mu}{r_p}}-\sqrt{\frac{2\mu}{r_a+r_p}\frac{r_a}{r_p}} < \sqrt{v_\infty^2 + \frac{2\mu}{r_a}}-\sqrt{\frac\mu{r_a}}
$$
I'll make the substitutions $v_\infty^2\to \alpha\mu/r_a$ and $r_p\to\beta r_a$ to help us out a little.
$$
\sqrt{\frac{\alpha\mu}{r_a} + \frac{2\mu}{\beta r_a}}-\sqrt{\frac{2\mu}{r_a+\beta r_a}\frac{r_a}{\beta r_a}} < \sqrt{\frac{\alpha\mu}{r_a} + \frac{2\mu}{r_a}}-\sqrt{\frac\mu{r_a}}
$$
Now let's take out a factor of $\sqrt{\mu/r_a}$ (which is positive, so it doesn't affect the inequality):
$$
\sqrt{\alpha + \frac{2}{\beta}}-\sqrt{\frac{2}{\beta\left(1+\beta\right)}} < \sqrt{\alpha + 2}-1
$$
Treating the left side as a function of $\beta$:
$$
f(\beta) = \sqrt{\alpha + \frac{2}{\beta}}-\sqrt{\frac{2}{\beta\left(1+\beta\right)}}
$$
We have:
$$
f(1) = \sqrt{\alpha + 2} - \sqrt{\frac{2}{1\cdot 2}} = \sqrt{\alpha + 2} - 1
$$
Substituting into our inequality, we now must only prove:
$$
f(\beta) < f(1)
$$
Note that since $0<r_p<r_a$, we know that $\beta\in(0,1)$. Looking at the derivative of $f$:
$$
f'(\beta) = -\frac{1}{\beta^2\sqrt{\alpha+2/\beta}}+\frac{\beta+(1+\beta)}{\beta^2(1+\beta)^2}\sqrt{\frac{\beta(1+\beta)}{2}}
$$
We can check that $f'(\beta)>0$:
$$
\frac{1}{\beta^2\sqrt{\alpha+2/\beta}} < \frac{\beta+(1+\beta)}{\beta^2(1+\beta)^2}\sqrt{\frac{\beta(1+\beta)}{2}}
$$
Since both sides are positive, we can square both sides without affecting the inequality:
$$
\frac{1}{\beta^4(\alpha+2/\beta)} < \frac{\left(\beta+(1+\beta)\right)^2\beta(1+\beta)}{2\beta^4(1+\beta)^4} \\
\frac{1}{(\alpha+2/\beta)} < \frac{(1+2\beta)^2\beta}{2(1+\beta)^3} \\
2(1+\beta)^3 < (\alpha\beta+2)(1+2\beta)^2 \\
2\beta^3+6\beta^2+6\beta+2 < 4\alpha\beta^3 + (4\alpha+8)\beta^2 + (\alpha+8)\beta + 2 \\
0 < (4\alpha-2)\beta^3 + (4\alpha+2)\beta^2 + (\alpha+2)\beta \\
0 < 4\alpha\beta^2(1+\beta) + 2\beta^2(1-\beta) + (\alpha+2)\beta
$$
All three terms are positive when $\alpha>0$ and $\beta\in(0,1)$, so $f'(\beta)$ is always positive. This means that its maximum must occur on the right endpoint, $f(1)$, so that $f(\beta)<f(1)$ for all values under consideration.
Thus, the elliptical orbit is always more efficient.
The greatest difference between the two orbits is when $\alpha=2$ (that is, $v_\infty=v_\text{esc}$ at apoapsis), where we have:
$$
\frac{\Delta v_\text{circ}}{\Delta v_\text{ellip}} = \frac 1{\sqrt{2}}\sqrt{1+\frac 1\beta}
$$