Quantum cascade lasers (QCLs) represent a most promising compact source at terahertz (THz) frequencies, but efficiency of their continuous wave (CW) operation still needs to be improved to achieve large-scale exploitation. Here, we demonstrate highly efficient operation of a subwavelength microcavity laser consisting of two evanescently coupled whispering gallery microdisk resonators. Exploiting a dual injection scheme for the laser cavity, single mode CW vertical emission at 3.3 THz is obtained at 10 K with 6.4 mA threshold current and 145 mW/A slope efficiency up to 320 μW emitted power measured in quasi-CW mode. The tuning of the laser emission directionality is also obtained by independently varying the pumping strength between the microdisks. By connecting the resonators through a suspended gold bridge, the laser out-coupling efficiency in the vertical direction is strongly enhanced. Owing to the high brightness, low-power consumption and CW operation, the proposed microcavity laser design could allow the realization of high-performance CW THz QCLs ready for massive parallelization.