TL;DR: It turns out that $G_n$ acts as a phased permutation of the computational basis, sending $|x\rangle$ to $(-1)^{s(x)}|\sigma(x)\rangle$ . Similarly, $H^{\otimes n}G_nH^{\otimes n}$ sends $|y\rangle$ to $(-1)^{t(y)}|\tau(y)\rangle$. Moreover,
$$
t(y)+x\cdot\tau(y)=y\cdot\sigma^{-1}(x) + s(\sigma^{-1}(x))
$$
for any two $n$-bit strings $x,y\in\mathbb{F}_2^n$. But then $s$ and $\sigma$ are affine functions on $\mathbb{F}_2^n$, so $G_n$ is Clifford.
$G_n$ is a phased permutation
We begin with the observation that $P_n^Z$ and $E_n^Z$ are diagonal in the computational basis. Moreover, all operators $P_n^Z$ form a basis of the real vector space of diagonal Hermitian matrices. Thus, conjugation by $G_n$ maps diagonal matrices to diagonal matrices. Let $\rho$ be the density matrix of a computational basis state. In other words, $\rho$ is a diagonal matrix with a single $1$ on diagonal and all other elements equal to zero. Then $G_n\rho G_n^\dagger$ is also diagonal with a single element equal $1$. Thus, $G_n$ maps computational basis states to computational basis states, i.e. $G_n$ is a "phased permutation gate"
$$
G_n|x\rangle = e^{i\theta(x)}|\sigma(x)\rangle\tag1
$$
where $x\in\mathbb{F}_2^n$ is an $n$-bit string, $e^{i\theta(x)}$ is a phase factor and $\sigma\in S_{2^n}$ is a permutation of the computational basis.
$G_n$ is real
Now, consider the matrix $2^nG_n|+\rangle\langle+|G_n^\dagger$. On one hand, its elements are equal to $e^{i\theta(x_i)-i\theta(x_j)}$ for all pairs of $n$-bit strings $x_i$ and $x_j$. On the other hand, the matrix $2^nG_n|+\rangle\langle+|G_n^\dagger=2^n E_n^X$ is a real symmetric matrix. Consequently, the phase factors $e^{i\theta(x)}$ are $\pm 1$. Thus, we can rewrite $(1)$ as
$$
G_n|x\rangle = (-1)^{s(x)}|\sigma(x)\rangle\tag{1'}
$$
where $s:\mathbb{F}_2^n\to\mathbb{F}_2$. Incidentally, this implies that $G_1$ is a Pauli gate.
$H^{\otimes n}G_nH^{\otimes n}$ is another phased permutation
If $G_n$ preserves $X$- and $Z$-errors then so does $H^{\otimes n}G_nH^{\otimes n}$. Therefore,
$$
H^{\otimes n}G_nH^{\otimes n}|y\rangle = (-1)^{t(y)}|\tau(y)\rangle\tag{2}
$$
where $t:\mathbb{F}_2^n\to\mathbb{F}_2$ and $\tau\in S_{2^n}$ is a permutation of the computational basis. But then
$$
\begin{align}
G_nH^{\otimes n}|y\rangle &= (-1)^{t(y)}H^{\otimes n}|\tau(y)\rangle\tag{3.1}\\
G_n\sum_{x\in\mathbb{F}_2^n}(-1)^{x\cdot y}|x\rangle &= (-1)^{t(y)}\sum_{x\in\mathbb{F}_2^n}(-1)^{x\cdot\tau(y)}|x\rangle\tag{3.2}\\
\sum_{x\in\mathbb{F}_2^n}(-1)^{s(x)+x\cdot y}|\sigma(x)\rangle &= \sum_{x\in\mathbb{F}_2^n}(-1)^{t(y)+x\cdot\tau(y)}|x\rangle\tag{3.3}\\
\sum_{x\in\mathbb{F}_2^n}(-1)^{s(\sigma^{-1}(x))+\sigma^{-1}(x)\cdot y}|x\rangle &= \sum_{x\in\mathbb{F}_2^n}(-1)^{t(y)+x\cdot\tau(y)}|x\rangle\tag{3.4}\\
\end{align}
$$
where $\cdot$ denotes the dot product in $\mathbb{F}_2^n$. By linear independence we have
$$
s(\sigma^{-1}(x))+\sigma^{-1}(x)\cdot y = t(y)+x\cdot\tau(y)\tag{4}
$$
for all $x,y\in\mathbb{F}_2^n$.
$G_n$ is Clifford
Setting $u(x)=s(\sigma^{-1}(x))$ and $\upsilon=\sigma^{-1}$, we can rewrite $(4)$ as
$$
u(x)+y\cdot\upsilon(x) = t(y)+x\cdot\tau(y).\tag{5}
$$
More explicitly, $(5)$ may be written as
$$
u(x_1,\dots,x_n)+\sum_{i=1}^n y_i\upsilon_i(x_1,\dots,x_n)=
t(y_1,\dots,y_n)+\sum_{i=1}^n x_i\tau_i(y_1,\dots,y_n).\tag{6}
$$
By setting all $y_i=0$, we see that $u:\mathbb{F}_2^n\to\mathbb{F}_2$ is affine. By setting a single $y_i=1$ and all others to zero, we see that each $\upsilon_i:\mathbb{F}_2^n\to\mathbb{F}_2$ is affine. Therefore, $\upsilon:\mathbb{F}_2^n\to\mathbb{F}_2^n$ is affine. Hence, $s$ and $\sigma$ are affine. Therefore, $G_n$ is Clifford.