Imitation Learning (IL) has been increasingly employed to generate computationally efficient policies from task-relevant demonstrations provided by Model Predictive Control (MPC). However, commonly employed IL methods are often data- and computationally-inefficient, as they require a large number of MPC demonstrations, resulting in long training times, and they produce policies with limited robustness to disturbances not experienced during training. In this work, we propose an IL strategy to efficiently compress a computationally expensive MPC into a Deep Neural Network (DNN) policy that is robust to previously unseen disturbances. By using a robust variant of the MPC, called Robust Tube MPC (RTMPC), and leveraging properties from the controller, we introduce a computationally-efficient Data Aggregation (DA) method that enables a significant reduction of the number of MPC demonstrations and training time required to generate a robust policy. Our approach opens the possibility of zero-shot transfer of a policy trained from a single MPC demonstration collected in a nominal domain, such as a simulation or a robot in a lab/controlled environment, to a new domain with previously-unseen bounded model errors/perturbations. Numerical and experimental evaluations performed using linear and nonlinear MPC for agile flight on a multirotor show that our method outperforms strategies commonly employed in IL (such as DAgger and DR) in terms of demonstration-efficiency, training time, and robustness to perturbations unseen during training.