Many years ago, when I was new to performance driving, I spent a lot of time at Texas World Speedway; I mean that I was there two or three weekends a month. TWS has a long front straight with big banks that can catch the wind nicely. I remember one weekend when I was several seconds off pace. It made no sense, the car was running great, I was driving great, but the lap times just were not there. Sunday at lunch I happened to sit down next to a semi-pro racer. He was having the same issue. Anyhow, we determined it was the strong headwind slowing us down. I didn't run data at the time, but of course, since then I have and can easily show it to be true.
Another time, when I towed my race car with an '97 Tacoma (supercharged), I was headed home on Sunday into FIERCE winds. Directly into them. I had my foot on the floor, 7psi of boost, and could barely make 60mph. I got about 80 miles on that tank of gas, no joke. It was awful and I vowed never to tow with that setup again...
So, yeah, a few MPG is easily believable with a strong headwind!