Stored procedure working when calling exec sp and throws with EF6 on SQL Azure

I have this stored procedure

CREATE PROCEDURE [dbo].[sp_RebuildIndexes]
AS
BEGIN
  DECLARE @TableName varchar(255)

  DECLARE TableCursor CURSOR FOR (SELECT
    '[' + IST.TABLE_SCHEMA + '].[' + IST.table_name + ']' AS [TableName]
  FROM INFORMATION_SCHEMA.TABLES IST
  WHERE IST.TABLE_TYPE = 'BASE TABLE')

  OPEN
  TableCursor
  FETCH NEXT FROM TableCursor INTO @TableName
  WHILE @@fetch_status = 0

  BEGIN
    PRINT ('Rebuilding Indexes on ' + @TableName)
  BEGIN TRY
    EXEC ('ALTER INDEX ALL ON ' + @TableName + ' REBUILD with (ONLINE=ON)')
  END TRY
  BEGIN CATCH
    PRINT ('Cannot do rebuild with Online=On option, taking table ' + @TableName + ' down for doing rebuild')
    EXEC ('ALTER INDEX ALL ON ' + @TableName + ' REBUILD')
  END CATCH
    FETCH NEXT FROM TableCursor INTO @TableName
  END

  CLOSE TableCursor
  DEALLOCATE TableCursor
END

If I execute it with a SQL query

exec [dbo].[sp_RebuildIndexes]

It works fine.

Now calling it from EF6 with this code throws on SQL Azure but works on localdb:

var sqlConnection = (SqlConnection) _context.Database.Connection;
sqlConnection.InfoMessage += (s, m) => messages = m.Message;
_context.Database.ExecuteSqlCommand("exec [dbo].[sp_RebuildIndexes]");

The exception:

The current transaction cannot be committed and cannot support operations that write to the log file. Roll back the transaction.
The current transaction cannot be committed and cannot support operations that write to the log file. Roll back the transaction.
The current transaction cannot be committed and cannot support operations that write to the log file. Roll back the transaction.
Uncommittable transaction is detected at the end of the batch. The transaction is rolled back.
[SqlException (0x80131904): The current transaction cannot be committed and cannot support operations that write to the log file. Roll back the transaction.

Do you have any clue on what is going wrong?

EDIT:

The problem appears only in the case where Indexes can't be rebuilt with ONLINE=ON

EDIT 2: If I use this sp with a SqlConnection object it works.