The EPA fuel economy website now lists mpg for the ZR2
https://www.fueleconomy.gov/feg/bymodel/2017_Chevrolet_Colorado.shtml
Interesting that the diesel 4x4 in a regular Colorado is rated at 20 city, 28 highway, and 23 mpg overall.
In ZR2 trim, the fuel economy drops to 19 city, 22 highway (a 27% decrease), 20 mpg overall (a 15% decrease).
So far as I know, the drivetrain for the ZR2 is the same as the standard 4x4. So the difference in mpg is caused by aerodynamics. That makes sense, since the city mpg of the diesel truck is only 5% lower than the standard diesel 4x4. Lose the lower air dam, increase ground clearance and expose the meaty tires to the airstream = higher fuel bills and shorter range.