Hi All,
Just figured it out...
My cousin was changing the air filter while I was finishing the lock. I inspected his work and found that the vacum line above the Brake master cylinder (Brake Booster) off. I connected it and turn the key off and the engine shut down.

I am new to the Merc engines but I thought that there was a stop lever somewhere around the Engine throttle linkage just in case of such an emergency...

I guess these diesel Mercs are sensitive to vacum issues...

Thanks anyway!