I got a really weird problem with a 206 HDI (2.0, 90, same as the 406 HDI 90

Sometimes, on start up, if the car has been left (the longer the more chance it will happen) and if it has been raining (the wetter again the more chance it will happen) on first attempt at start, you can hear the engine fire literally 1 or 2 injections then stalls. Other times it will cough instead of stalling.
Once started, it runs, drives, etc, perfectly. After the first initial start, or even on re-attempt if it stalls, it starts up completely perfect and runs fine.
My first point of blame was the battery, so I fitted a new Varta D15 (decent battery, more than enough cold cranking amps for our engine). Made no difference... Voltage across battery is good and voltage with alternator running is 14.5V so seems good there too.
My second point of blame is starter motor as it sounds like it is struggling sometimes but this morning it was cranking at a good speed but still immediate stall.
Not sure what to look at next, any ideas?
Other relevant things:
- Injector Corrections good (within +/- 1)
- Rail Pressure good (very close to requested value, builds quickly at cranking, etc)
- Tiny bit of swarf in fuel filter but not sure about how long its been in there for. I changed the filter gave the housing a damn good clean and will see how it goes at next service
- Lift pump sounds fine and consistent when ignition is on. Goes off after about 5 seconds as it should. No weird or changing sounds there...
- Is not the EGR, this has been removed (both mechanically and in ECU map). Had the problem both before and after this.
- No faults in PP2000, on any ECU.
- Multiplexed car (has BSI)

Any ideas could be great.