I have a large set (100+ million) of observations with the date represented as a custom string format. We did not generate the date strings, I just need to convert the date
Take a look at DateTime.ParseExact, e.g.
var dateTime = DateTime.ParseExact(
"12 JUN 2010",
"dd MMM yyyy",
CultureInfo.InvariantCulture);
You can also specify a fourth parameter to set the Kind of date/time, for example if they are UTC date/times then you'd likely want to specify DateTimeStyles.AssumeUniversal
.