Do you have the older style loop type glow plugs (big and have zig-zag wires connecting them) or pencile type glow plugs?
My understanding is that if you hava the loop style Glow Plugs that they are wired in series and if one goes bad the rest will not work.
Is your Glow Plug Relay under the hood on the fender well or under the dash board behind the instrument cluster?
Here is a site that might help:
http://www.pauldrayton.com/uploadfiles/merc/Service/W123/Index/617N/15EngineElec.html