Not always....
A few years ago, I owned one of the last of the "classic" Saab 900 Turbos (a 1993 model). Driven gingerly, it's 2.0 liter I-4 averaged just over 25 MPG in combined driving. The best I ever got out of it was just shy of 30 MPG, on a long trip, where I never exceeded 65 mph. By comparison, my last company car, a crappy 1994 Chevy Corsica with a 3.1 liter V6, often exceeded 33 MPG on long trips....at 75+ mph! The Corsica's engine was barely turning 2000 RPM at that speed, while the Saab's 2.0 liter turbo was spinning along at 3000 RPM at 65 mph.
My current ride, 1999 Dodge Dakota, has a 5.2 liter V8, and averages just shy of 17 MPG combined, and has recorded 21 MPG several times on long trips (again, as long as I do not exceed 65 mph). Luckily for me, my commute to work is under 10 miles (round trip), so I often get a month's driving out of a single tank of fuel.
A year ago, I had a chance to drive a VW Golf diesel over the course of a weekend. It was a hoot watching the trip computer indicate 48 MPG at a steady 65 MPH on cruise control. Just for s**ts and grins, I pushed it up over 100 MPH, and it was still reading in the high 20s! That will probably be my next ride.