If you are going to use a performance engine in a performance car, you can't expect good gas mileage
That said, the overdrive transmissions with EFI engines will net you in the 20's as far as mileage is concerned. What limits the mileage, even though the Z is lighter and smaller then a Vette, Camaro or Firebird, is simply very dated aerodynamics and your right foot. To my knowledge (very limited compared to Pete Paraska's) you need to do some serious front end work to make it profoundly better. The '87 VW GTI, box as it was, has a better drag coefficient then the S30 bodied Z. In fact, I think the Z is better off going backward then forward...
Davy