It's more down to the sorts of roads. If you're doing 37mph it's usually in residential areas and extra-urban areas. These are notoriously full of traffic lights, other cars and humans which result in braking regularly and therefore costly energy sucking acceleration. Also engines are usually have peak energy transfer from fuel to distance at certain speeds due to gearing, revs, torque etc. This is by design.

If you're doing 60mph, you're probably on a relatively obstruction free A-road where the only energy required is to offset friction to maintain speed. I have driven from London to Leeds (195 miles) with not one single change in speed (apart from to take a piss and get a Burger King at Leicester Forest services!)

Also roads are a hell of a lot smoother and have less friction in Europe compared to the US. That makes one hell of a difference!

For ref, my car is a 1.9l diesel as well. These Citroen engines are super-efficient which is why I own it. I also have low rolling resistance tyres which make a 2-5% difference.

American cars are poorly designed guzzlers usually, even the ones they ship to Europe.