I think the NZ is pretty economical, I had one in my mk3 saloon that I used to have. But to be honest, the GT I also used to have was just as good with 40mpg and it was quite a lot nippier.
It's not really feasible to make an NZ fully GT spec as it requires changing basically everything including wiring loom, ecu, cam, pistons, inlet manifold, gearbox..... The NZ is fairly tunable and you can get them to 75bhp without too much trouble, although I still say you'd best off either getting a GT or a non-GT with very tidy bodywork and converting it to a GT.