Is your starter dragging any? If a diesel doesn't achieve sufficient RPMs while cranking, it will not make compression and start. A block heater warms and therefore thins the oil and allows faster cranking speeds. A worn out battery will crank when warm but fail to produce enough amps to overcome thick oil if cold. Poor battery terminations and starter terminations can also decrease cranking power.
Its a good idea to replace the battery and clean all terminals every 3 to 4 years when operating a diesel in extreme cold.
The other less likely cause is a worn motor that suffers low compression from worn rings or damaged cylinder walls. It can't develop enough compression when cold to fire off. I don't recommend this but a very small amount of ether sprayed in the intake can wake up an otherwise cold dead diesel in this condition. I doubt this is your issue unless you have failed to change the oil frequently or have 300k miles or more of hard use.
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