Certainly check the air filter, and clean it with a vacuum, or replace if it
looks dirty.
The other thing is how you drive, and how it has been driven before.
If it has always been driven at very low revs, then a lot of crap will have
built up in the engine and exhaust. First thing, take it to a long empty
road, preferably not in town, and put your foot down to the floor in second
gear. Leave it there for 20 seconds or so. You will almost certainly see a
cloud of black smoke at first, but this will clear. It will then drive
better.
This is a useful thing to do before the emissions test in the MOT.
The other thing to check is how you are driving it. The turbo does not
really come in until at least 2000rpm, and there is little power lower than
that. In a higher gear, fourth perhaps, try accellerating hard, put your
foot down, then slowly release it, and see how far up you can bring it
before the rate of accelleration reduces.
You will find that too much weight on the go pedal only burns more fuel, but
gives little in accelleration.
To sum up, don't let the revs drop too much if you want accelleration, and
keep a light right foot.

It's quite low.  I have a 205 GRDT, and in normal brisk driving average
just over 50mpg, dropping down to mid-40s when really caning it.
If you drive at 45mph in granny mode, then you can get better than
60mpg, but the difference between normal driving and hooning isn't that
significant, which is nice :-D

Cold/short runs don't affect fuel economy in a diesel nearly as much as
they do a petrol, although sitting in traffic obviously does.

The non-intercooled engine in the 205 is less turbo-peaky than the
intercooled 90BHp variants used in the 405/306 etc.. and is quite
driveable from below 2000rpm.
Probably worth putting a new air filter in, and some injector cleaner
then take it for a good solid thrash for a few miles.  This also gives
you chance to find out exactly where the rev-limiter cuts in :-)
It's probably worth checking that none of your brakes are binding.

205TDs rock, btw :-)