As the question already beyond exact science, I will take a stab at it.
There are three components here - Kinetic Energy (KE), Energy of gravitational waves (GW), and lost mass in merger.
KE and GW -
As the GW are ripples in space (time), they have to be generated by motion and/or its disruption (i.e stoppage at moment of merger). Therefore, the energy of GW has to come out of the KE lost. Thus KE lost should be >= GW energy. As the BH are moving at speeds comparable to that of light just before merger, there should be plenty of KE to generate GW. I can not grasp creation of any ripples without use of some kind of motion?
Lost mass -
This is the one that is hard to explain. How mass is measured? For black holes, mass would be measured due to their gravitational effect. The lost mass means reduced gravitational effect of the merged matter. Therefore question comes back to gravity. May be that combined matter does not have same gravitational effect as sum of that of its separated components. The -ve potential energy acts as equivalent -ve mass making the net sum less by that amount (per E = M * C * C). This -ve mass would also show in gravitational effects which we use to estimate mass of the merged.
In other words, -ve potential energy = gained Kinetic Energy.
Significant amount of this KE is lost in space, creating ripples (GW).
Some should be absorbed by merged system in the form of rotation, heat etc.
Some may be lost as radiation.
Lost KE (= GW + radiation) is the equivalent lost/reduced mass.
Reduced mass via GW does not mean reduced matter, it means reduced gravitational effect.
In case of black hole merger, the rotational speed is slowed down by space itself, otherwise, their approach speed would reach escape velocity, which would be c. It seems, at highers rotational speeds, space starts absorbing the speed making it impossible to reach c. This phenomena probably gives the impression of infinite mass as the speed approaches c. Because any speed you impart, is absorbed by space and speed does not increase.
This absorption of rotational speed by space is the mechanism responsible for creation of GW. This must be the mechanism also for loosing mass via GW.
Linear speed would not be absorbed by space and, so there should not be GW if black holes collide head on, except that some GW may be possible due to sudden stoppage of the motion at collision moment.
Above is the case in events like merging of black holes.
In smaller events, like esteroid hitting a planet, there may be extremely little ripples/radiations and all (most) KE is absorbed by the merged system as heat/rotation and so, the lost gravitational effect may not be measurable.