You can convert the duration to a date and then format it:
DECLARE
@FirstDate datetime,
@LastDate datetime
SELECT
@FirstDate = '2000-01-01 09:00:00',
@LastDate = '2000-01-01 11:30:00'
SELECT CONVERT(varchar(12),
DATEADD(minute, DATEDIFF(minute, @FirstDate, @LastDate), 0), 114)
/* Results: 02:30:00:000 */
For less precision, modify the size of the varchar:
SELECT CONVERT(varchar(5),
DATEADD(minute, DATEDIFF(minute, @FirstDate, @LastDate), 0), 114)
/* Results: 02:30 */
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