I can definitely confirm that your TDi 140 should be running a lot more efficiently than 37-43 MPG: mine averages 54 over the long term (according to the onboard brain), which translates into 49 actual (calculated from fuel consumed and miles travelled).
As to the underlying cause, could be any of a wide variety of things (and possibly more than one): ECU, fuel system (pump or injectors), exhaust (including turbo), tyres under-inflated, and so on. Sorry not be able to give you anything more specific than that!