Check Relay #109. Classic failure in VWs until they switched to an upgraded relay. Did the instrument cluster come alive when you turned the key before cranking it? If so, then Relay #109 is OK.
Did you check clear fuel line from fuel filter to injector pump? Is it full of fuel or full of air bubbles?
What rev fuel pickup/sender unit do you have in the fuel tank? Check this by pulling up the rear seat cushion on the passenger side. Then use a phillips screwdriver to remove the screws holding a round metal plate. Lift up and remove the plate and have a look at the fuel pickup/sender unit on top of the fuel tank. Note the letter at the end of the part number. If it's a rev B or rev C unit, you may have a stuck check valve in the unit. This is a common problem in the cold as fuel gets cloudy due to wax crystal formation. The check valve in these units is too restrictive and ends up being the first victim in the cold. You may want to read
this thread for more information. VW later changed to a better fuel pickup sender unit that doesn't have this problem any more.
Known "bad" fuel sender part numbers: 1J0 919 183C, 1J0 919 183D
Known "good" fuel sender part number: 1J0 919 183H
Good luck.
~ n1das