I had the same problem occur a few years ago. It turned out to be the fuel pump. Make sure you have your fuel pressure checked. It may be something as simple as a fuel filter plugged up or the crankshaft position sensor not working correctly. In any case it sounds like you have checked the ignition system thoroughly. Do the same with the fuel system.i have a 1996 slk 230 auto i bought it with the problem im having cheap enough so hopefully someone can shed some light so far i have:
changed the cps
changed the k40 relay
all is good the car turns on the key it fires up then stops before idling when this happens the car shuts the spark off
when i got the car it has the 3 pin plug down on the drivers foot well looks like an immobilizer key hole ive traced the wires and they go into the alarm the problem came about when then battery went flat on the car a year ago and had the problem since.
any ideas i have browsed the forum and the have seen similar problems but not the same.
the car unlocks and tries to start on the key