Just wanted to report back as I have identified the problem.
It seems like excessive heat destroyed the oxygen sensor.
Actually, I used some heat-shielding tape to wrap the exhaust including the catalytic converter. While I removed some of that tape on the pipes before the oxygen sensor, it was the heat coming from the catalytic converter that killed the oxygen sensor. After I removed the tape around the converter, the sensor (the fourth one...) does not get destroyed anymore.
Thanks for your suggestions, Bruno

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1992 300TE 160 kmiles