I have a 92 190E 2.6 and it does the same thing. It can not be the coil, the plugs, the plug wires, or the gas you use if it always starts the second time. I have not totally troubleshot mine yet but heres what I think....
When you first try to start the car...it starts up and then dies because there was enough gas in the injectors to start the car, but then that gas gets used up and the car cant get the gas back up to the injectors to keep it running. The gas has to be somehow flowing back down away from the injectors. How, I dont know...by virtue of the fuel pumps that Mercedes have you would think that as soon as you turn the key the pumps would start trying to force the gas up to the injectors. I have some have changed out there fuel pumps, the relays, and the fuel filter and this has not solved the problem. I have read almost every thread regarding this subject and I dont think that anyone can give you a definitive answer that will fix it the first time. I just bought my 190E so I am new to Mercedes and their what seem to be common problems, but give me some time and I'll figure it out.
As for now, I suggest to just deal with it and be prepared to turn the key twice.