While it's my understanding that the gasoline engines that come here are nearly identical to their EU versions, the diesel engines we've gotten so far are unique to the USA, and thus, there isn't as much incentive to bring more over. Even though the US now dictates lower sulphur diesel fuel, it is still quite a bit dirtier than the EU supply, which is the bigger reason they don't use the same engine here as there.
Because a diesel is so efficient at idle, the city mileage typically is much better than a comparable gasoline engine version. Also, diesel has a significant energy density increase over gasoline, so it should produce more miles/gallon than gasoline. The refineries in the EU are optimized to produce more diesel from the mix than ours, and we fight with heating oil in the winter for our diesel for vehicles. It will take new refineries to make a more stable diesel supply and cost structure here.
That being said, I still would have preferred a 530d over the 535i GT I purchased, especially if the cost differential was similar to what it is elsewhere. I think the reason they charge so much extra for the diesel here is the engineering required to make it work here with our fuel is spread out over so few sales verses in the EU, where diesel predominates - the economy of scale come more into play.