Very interesting project, ambitious but certainly doable.
I do want to start with a reality check.
I know the Z is an aerodynamic car, which will help on the freeway, and I know that going from the Iron-block V6 VG30DE to an all-aluminum 4 will save you some weight (I'd guess 200 lbs or so), but you'll still have a pretty heavy car (quick google search says curb weight of 3300lbs). I don't think you'll get anywhere near 35mpg with a Subaru engine, even in the best conditions. Subaru engines are not terribly fuel efficient, certainly not in stock tune.
Assuming we're looking at a budget-friendly engine swap (I assume that since we're talking about fuel mileage, this is the case) that will probably cost $2-3k depending on the details.
Anything newer than 2005-2007 (depending on the exact model/trim) will have an immobilizer, which pretty much puts it completely out of this category unless you're extremely knowledgeable and get some seriously valuable parts for free. Subaru didn't offer a non-turbo 2.0 until 2012.
The hard part will be the transmission. Conventional automatic transmissions are not efficient, and modern ones that are require some serious computing power to run them (and Subaru doesn't make in a RWD configuration, so you'll be mixing and matching manufacturers. good luck!). Without fabricating your own engine-transmission adapter, your best bet is probably BRZ/FRS/GT86 transmission, or using one of Bill Hincher's adapters to an older Toyota transmission.
The next issue is width. Horizontally-opposed engines do not typically fit well in engine bays not designed for them. I wouldn't be a bit surprised if it wouldn't fit between the upper control arm mounts.
Gauges are one of the easiest parts. Tach signal converter to get that to read right. Might have to put the Nissan temperature sender in the Subaru engine. Speedometer might be a challenge depending on the transmission, but still completely doable.
If I were to engine swap a Z32, with 35mpg the goal on a budget. It would be a manual transmission. If it had to be gas, I think it would be a Honda engine. But I would be pushing very hard for a VW TDi. I know there are transmission adapters to Toyota longitudinal transmissions (see them all the time in 4WD trucks, bellhousing would be the same for many RWD Toyota transmissions). Stock tune would likely yield 45mpg+, and with some mods 60+ isn't off the table.