It sounds to me like a clogged fuel filter or tank screen, except that you seem to indicate that the car is using a lot of coolant. If that's the case, it could be a cracked head or failed head gasket but if the engine runs perfectly with no smoke before it dies, then that's unlikely. How much coolant does it use and are there any external leaks? Do you have any oil/coolant mixing or residual pressure in the cooling system?

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL