Data transfer from hardware Modules to Nios

4Mbit/s sounds kind of low, even for a simplistic implementation. Did you already isolate where the bottleneck is? i.e. how fast can you run the W5300 in isolation, how fast can you grab your data in isolation.

Assuming your data acquisition is the bottleneck: how does your data acquisition portion work? Is the NIOS writing to the PIO to force the trigger, and then following that up with a read for the data? Anything where you are performing multiple PIO interactions to execute a single logical operation is an area where it should be very straightforward to improve your performance just by creating your own Avalon-MM Slave component.