How much mechanical energy (power) is converted to electrical energy (power) to have output voltage (no load connected)?
Zero.

Think of it like a fully charged battery with out any load attached. The chemical energy in battery is limited and can be converted into a definite amount of electrical energy. But when no loads are connected, how much chemical energy is converted to electrical energy? None. 

Similarly, when no loads are attached to a generator, no mechanical energy is being converted to electrical energy. Efficiency of the generator is zero. Whatever mechanical energy is being consumed is being spent to overcome friction, windage and intertia.