These are both good engines, but why? Once you piss with swapping engine, transfer case, and trans, you might as well just spend your money putting a solid axle under a Blazer and using that, it will be the same difference.
The VW TDI swap has a kit and the MPG will be much better than the MZB engine. Those only seem to get 20ish mpg in the cars they were in (granted they were big, heavy cars...). I imagine the VW engines will be much easier and cheaper to source parts for and mods for if something breaks or you want more HP. If you were to sell the Jeep, it would assuredly add considerable value to it.