You can't really judge mpg by one drive.
In ECON (is mine the only one with an "N" on the button?) mode, the car will try to maintain the battery's State of Charge in the 3 to 5 bar range. If it gets too high, it will switch to EV Drive ("EV Mode" is when you push the idiot button to force EV Drive, which doesn't improve MPG). If it gets too low, the engine will run a at higher level of power to increase SoC. This is good, since that higher level of power is more efficient than what you need to maintain speed. It will also retard the car's response to stomping on the gas pedal, to prevent jack-rabbiting.
In NORMAL, the SoC limits are a little higher, and the retarding is a little less, but otherwise the behavior is much the same.
The point of this low range for SoC is to partially have plenty of room for regen braking. But mostly because charging the battery is more efficient in that range.
In SPORT, the SoC limits and acceleration retard are pretty much removed. It will charge the battery up to 8 bars, or more, and hardly ever turn the engine off. The charging efficiency drops way down, but you have the most power available for acceleration.
If you want to save gas and don't mind the lag in acceleration, stick to ECON or NORMAL. I personally prefer ECON, since that also slows the response of ACC. In Sport, if somebody pulls in front of you, you can get a harder brake. The only time I change the mode, is when I anticipate the need to change speeds quickly.