You are correct for ready to go scanners, however you can build a gauge if you have basic soldering skills.
Check out the MPGuino, it works for basically every older car as long as it is fuel injection (yours is)
MPGuino - EcoModder
What kind of MPG do you get going 40? In mine (1.8L 4 speed + lockup) 35mph is better than 40, and 45mph is better than 40 (lockup kicks in there). With my car I can go 45mph and drop down to about 40mph before it drops out of lockup, so I try to cruze 42-48mph, and if I have to go slower (say 35mph zone or 30mph zone), I try to hang around 30-35mph. 35mph and 45mph is nearly the same mpg for me at around 55-65mpg for instant readings, averages of course are a bit lower (40-50mpg per trip, ~45 per tank).