People have asked this question in the past, and no one seems to know exactly what causes it. Of coure, a good valve adjustment and fresh glowplugs always might help, but my car is in a perfect state of tune, and it will hiccup for about 5 seconds in the morning (if its cold out). It otherwise runs perfectly, so I don't worry about it.

There was someone who mentioned that they solved this problem in a w124 diesel by replacing washer/seals that lie underneath the check valves in the injection pump. These valves keep the pressure in the lines between the pump and injectors. If the seals leak, the pressure in the injection line bleeds down, which means the pump has to build pressure in the line before it will pop off the injector, and all this may case the hiccup in the morning (pressure bleed off overnight).

I don't know much about these seals, so if anyone else does, please chime in.

GregS
'84 300D
'90 300CE