Whilst you'll get some gains from creating a sub that processes one line at a time, you'll have to pay for (some of) it with the overhead of calling a sub for every line.

Since you're already dynamically generating a sub, why not just wrap up the entire processing including the loop into the sub and just call it once:

open(REGEX, "<$filter");
while(<REGEX>) {
    next if ($_ =~ m/^\s*#.*$/);
    chomp;
    $regex .= "$_, ";
}
close(REGEX);

my $code = eval <<EOC
sub {
    for ( \@_ ) {
        chomp;
        $regex; ## Note: using $_ implicitely is faster
        ## extract fields and do sql INSERT
        ...
    }
}
EOC

$code->( split /^/, $lines );
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