The Include path expression must refer to a navigation property defined on the type.in eager loading
You cannot use Include to select data like this. Include is used to load related data. You should load your entities using Include then select what you want. Remember to remove .ToString() from CompanyId. EF will do it for you. Your query should look like this:
var incomeList = ctx.IncomeLists .Include(i => i.Company) .Include(i => i.ListPeriods.Select(lp => lp.PeriodType)) .Select(i => new { CompanyTitle = i.CompanyId + "/" + i.Company.CompanyName, PeriodTypeNames = i.ListPeriods.Select(lp => lp.PeriodType.PeriodTypeName) }) .ToList();