I just bought a 2002 ZX 5 a few weeks ago. I just finished my first opportunities to test the fuel economy.
Living here in Montreal, fuel economy is really poor in the city. To give a baseline for economy, I will mention what my 1995 Honda del Sol Si got in various conditions.
When I lived in Phoenix, Arizona, the del Sol got 27-28 mpg US in the city. The best I ever got was 35 mpg on the highway at 110 km/h with the cruise control on all day. The worst was around Montreal where I got 24-25 mpg US. Ouch!
My first tank that I recorded on the Focus was a bad 22 mpg. This was followed up with 20.5 mpg just this week. This weekend I drove to Toronto. It took about 2 tank fulls. The best fuel economy I got was this morning on the way home, 33 mpg (110 km/h, cruise control, little passing). Yesterday when I let my lead-foot wife drive we got a reasonable 31 mpg.
All in all, it's what I expected. The engine is .4 L larger than my del Sol...and the car has to be 400 lbs heavier. Despite the del Sol having a drag coefficient similar to that of a brick (trust me), I did expect similar bad aerodynamics with the Focus. I was not totally disappointed.
Hatchbacks are less efficient because of the way the air flows off the rear of the vehicle. That's life.
These numbers don't sound far off of what I hear from others, so I would have to say there is nothing wrong with your car.