Recalibrate Speedo and Odo with new tires?

The dealer is correct, there are no adjustments for the speedometer/odometer.

I've never measured tire circumferences, but there are probably variations in tire circumference between tire makers.

Tire size alone does not explain the differences you are experiencing. The shorter distances mean that the new tire's diameter is larger so it turns fewer times for a given distance. Tire diameter will vary about 1/2 inch over the tire's life due to tread wear. Theoretically, a larger diameter tire should improve fuel economy.

Different tires will have different effects on fuel economy, as will different inflation pressures. For improved fuel economy and tire life, I recommend inflating the tires about 4 or 5 PSI higher than the manufacturer's recommend tire inflation pressures, although this will result in a slightly harsher ride.

New tires don't mean you need to recalibrate anything. Even if the tires are a different size, the difference in the speedometer readings will be very minimal (< 1mph). It certainly should not be affecting your MPG that drastically. When you state your MPG, are you calculating this based on actual calculations or are you using the car's MPG display? Perhaps your car's MPG calculator was reset when you had the tires changed. In this case, it will take some driving before the computer gains enough inputs to bring itself back to the average you were getting before.

Make sure that the new tires were balanced properly after they were mounted. Improper balancing CAN cause a drastic change in MPG as well as nasty vibrations in the steering wheel at highway speeds.