Wow. How are you measuring 39 mpg? The current EPA figures for my 1985 300D is 19 mpg hwy, though I get ~22 mpg. I hope you aren't naively going by the markings on the fuel gage for consumption and the odometer for distance. Use the calibrated pump at fuel stations by measuring from fill-up to fill-up. For distance, use highway mileage posts or a GPS.

The turbocharger recovers exhaust energy, so disabling should make the engine less efficient. Diesels run WOT all the time, so a turbocharger is an ideal match. Some people who have added a turbo to 60's gasoline engines claim it improves mileage slightly. That is hard to believe since boosting the inlet pressure only to drop it across the throttle plate is a waste. Might be a very minor improvement from adding a little energy (heat) to the inlet air.