Hi,
My 2003 W209 CLK 320 heater blows cold air into the cabin when I go round corners.
I think that to bring some credibility to this question, we should get some diagnostic measurements of temperature from the OP. The statement of 'cold air' needs clarification. How cold?
Maybe the OP could take some temperature measurements with the car moving in a straight line, then repeat with the car turning.
The CLK does not have a heater as such. The heat exchanger is one component of the climate control system, and the conditioned air exits from a number of vents. The diagram below shows the operation, where ALL the air is chilled/de-humidified prior to subsequent heating as required. The drawing is for a W220 system, but it is similar to the W209 arrangement. Click to enlarge.