On my '88 300E, if you turn the dial one click to the right for the parking lights, the fog lights will not activate if you pull the switch out. However, if you turn the dial two clicks to the right to turn on the headlamps and pull the dial out, the fogs will come on. Now, if you turn the dial back one click to just the parking lights, my fog lights will stay on! Have you tried that yet?
'86 Alfa Romeo Spider
'84 Harley Davidson FLH"X"
'70 FJ40 Land Cruiser (basket case)