I saw show on Mythbusters about this and they came to the conclusion that having the tailgate up gave them more mpg.
On that show it showed that a bubble of air was created in the box and the oncoming air was directed up and over the tailgate very smoothly.
I always thought that putting that screen mesh back there was a bad idea. I guess I was right.
NASCAR did a test on their truck series trucks and found the same thing. Tailgate up was better.
Here is a test from Chevy. See what you think.