You can remover the one way valve at the exhaust or try any of the usual tips and tricks that you hear of to increase power but there is no escaping the fact that a 4x4 is heavy. So it needs more power to move it

The fact that is the aerodynamics of a matchbox doesn't help during the highway cruise and engaging the 4 wheel drive makes it worse by increasing the rolling resistance that is already bad with the wide tyres.

There is a difference between the terms 4x4 and AWD. Go check it out.

But ultimately, the extra mechanical components like gears and shafts etc., do increase the amount of drag on the system.

Its like having paying 2 workers to fix a window. You may get double the productivity but you also have to pay double the wages. So its how much more efficiency you can get out of having 2 workers that make the difference.

The same goes for 4x4s and all wheel drives. You get more traction from 4 driving wheels but then the amount of stuff you have to turn increases. Thats why they tend to weigh more.