I have a 2002 diesel jetta. I started having

Look for a air outlet usually top engine around the diesel filter. dnt mistake it for your ac outlet crank the car and push it this will release all air be careful it will spray you do this til no air comes out do it in spurts

Bleed your fuel system. There is usually a bleeder valve on the fuel filter or somewhere round there. You can also disconnect the fuel supply line from the cylinder and try starting until fuel starts flowing out. The glow plugs which serve the same purpose as spark plugs in a gas vehicle need to be replaced. This should fix the problem.