If you have a CDi engine there wont be any relays for the fuel pump as they are both mechanical items driven off the front of the engine. I have just had a similar problem, I thought that the low pressure / lift pump was at fault, as there was only air bubbles going to the engine from the fuel filter, so I changed it... still had the same problem, not starting.. then noticed that there was still air in the pipes and the fuel was running back to the tank when I stopped trying to start the engine. It was the 'O' rings on the lift pump connections at fault, I got 2 new 'O' rings from my Mercedes dealer for less money than 1 off of Ebay (be warned Ebay isn't always cheap).
A word to the wise, be very careful with the connectors / clips, as they get very brittle. I have managed to break both clips and have been forced to buy 2 new fuel lines, if I was to do it again, I would try to heat up the clips before touching them.. hot water or hair dryer!