I live in CO. as well and have owned three 1993 2.5 E300Ds. They all due this to some degree. Try this after you start the car, do not let it run until it starts running rough, drive away, in all of my cars this resolves the issue.
It is most likley related to your glow plug relay turning off the afterglow pre maturly,(should have up to180 seconds of afterglow), but not always, glow plug relay gets its info or outside airtemp from a coolant sensor but altitude compensation from the N4 black box, internal to the box, these cars were not completly tested at high altitude, so there are issues, you will find that if you change altitude often the car will go into the limp home mode( NO TURBO BOOST) just turn the car off and reboot the computer. Down at sea level the problem does not exist. There is a twelve page diagnostic procedure to check all imputs into the computer, if the glow plugs are good and the glow plug relay is good change the coolant sensor and hope for the best often it does not improve. Other than a couple issues this is the best diesel car Mercedes has ever built, good luck
Ron