the 1992-95 civic, mostly the vx modle that I assume you are talking about does get close to the same epa mileage as a vw TDI.
I see a TDI as a better long distance vehicle, good for if you live in the country and drive 10+ miles on any given trip, or drive alot on the highway, the newer diesels have more torqe and horse power then a gas engine in a vehicle that might get simaler mileage, so if you are hauling alot of stuff, or people, or something like that your mileage is going to stay higher, same if you have alot of hills to clime on a daily basis, also, up untill this year they were still making the TDI's (stoped for the 2006 or 2007 modle year, and will start up again in a year or two with improved emissions) so you can get newer car, unlike the civic vx that they stoped making in 1995.
the civic vx is a great car, and it's nice to be able to get fuel at any gas station, and to have the cold weather starting of a gas car, it's basicly a little car with a little gas engine that puts out a little extra power if you rev it high/burn a bit more gas.
so look at your needs, and how much you can spend, if you have the money and drive the distances, I would say look at the TDI, if you can find a civic vx that is in good shape then there is no reason not to take it for a drive and see how you like it.
I drive approximately 30,000 miles a year, and am looking for improving the fuel economy of my existing cars or posssibly buy another one that gives better economy. But it has to be comfortable on long trips 2-3 hour commutes.