It will probably work with some modifications. That shape steering wheel fits on all '92-'95 W124's.
The airbag that this wheel takes is a different shape than your W126 airbag. You could probably buy a used airbag at a recycling yard for about $200.
You'll also need to use the inner metal core from a '92-'95 W124 steering wheel that the airbag connects to. '92-93 W124 airbags connect differently than '94-95 airbags. Recycling centers will not sell just the metal core, so you'll have to buy the whole steering wheel. Probably budget around another $200.
The steering wheel would probably fit, but I don't know if the horn connection would work. If not, you'll have to either go without the horn, or install another switch for the horn, like on the floor board of the car that you would activate with your left foot.
2001 E430, Bourdeaux Red, Oyster interior.
1973 280SE 4.5, 170,000 miles. 568 Signal Red, Black MB Tex. "The Red Baron".