These two questions give similar algorthims for shuffling an IEnumerable:
The first algorithm is O(n) as it has a loop which performs an O(1) swap on each iteration. The second algorithm is O(n^2) as it performs an O(n) RemoveAt operation on each iteration. In addition indexers on lists are slower than indexes on arrays because the former is a method call whereas the latter is an IL instruction.
So out of the two the first one is likely to be faster. That said, if you're after performance, why bother yielding the results? It's already converting to an array so just shuffle that in place and return the array directly (or wrapped in a ReadOnlyCollection if you're worried about people changing it) which is probably faster still.
On a side note, both methods have bugs that the behaviour of Random when used by multiple threads is undefined, so they should probably use a thread-safe random number generator.