Monitor glow plug activity with a meter to make sure they are really on for the right period of time. Not enough just to change the plugs and relay. Also constantly keep in mind that vendors may also not always tell the truth in every instance. Remember that diesel requires fuel, compression, and because engine is a low compression diesel design glow assistance. One of the three components is missing or it would run. Divide and conquer comes to mind. Does not hurt to get the block heated up with block heater prior to testing either as a warm engine generally starts easier once you find the problem. If the vendor was truthful may not turn out to be much at all. The dirty air filter just means no regular maintenance so if you get it up and running do the normal things. look at it as a learning experience. Lots to check out carfully before any consideration of head removal even should be thought about including compression test. With this site and going slow I think you will find out why it does not start. To stop the confusion just check carefully and systematically each system by itself and slow down and think. Example. Clip onto glow plug with meter. Turn key on. See how long you have voltage at glow plugs. If not long enough or voltage not there check further. If there for the proper amount of time consider the circuit working and move to the next system. As you have changed the plugs with new ones you do not have to check them. A quick compression test may be the next best step as like religion it will give you hope to continue if the numbers are good. See if you can beg or borrow a diesel compression tester somehow. Scrounge a little as this is what makes this hobby or pastime rewarding. Never overlook the elementary. If car is in northern states could it have a frozen fuel line? Make positive hand pump on injection pump is really pumping up fuel. Or does not leak badly when trying to pump it. Also could be a lot of small things combined if a mechanic has not gone over the car for years. Most important as well is when you feel yourself becoming mad, confused, tired,or any other emotional response you automatically stop thinking. Take a break from it for awhile till you can think again. Always take the high ground. In your case the problem or problems are a constant not some true intermittent problem really difficult or nearly impossible to locate. Learning is a bit of a struggle to be worthwhile.