1/01/2013 Update. I edited this to reflect my latest tests. The first time I tried Mountain Mode, I got 67 mpg on the gas side. I tried it again, although it is winter now, and I actually got lower mpg barely got 30 mpg out of it when running the gas motor. So I am convinced that Mountain Mode does not increase mpg when running the gas motor.
1/18/2013 Update. I did find one trick I can use with Mountain Mode. On one of my weekly longer trips of 47 miles where in the winter I cannot make it on electric alone. On the way back home, rather than using electric heat and going through the battery first. Set the drive mode to Mountain Mode and turn on the gas motor first. Drive until the point where you think you can make the rest of the trip in all electric, and then switch back to Sport. This heats up the interior really good and creates a lot of residual heat in the gas motor to continue heating for free. Just make sure you switch climate control to fan only and keep the temp setting at what you are comfortable at, mine is 68 degrees.
Doing this I find I use a bit less gas for the whole trip. About 0.25 gallons for 47 miles, rather than what I would normally use without this trick at about 0.35 gallons.