Yes, the leather headrests from the 500E and E500 are shared with the leather headrests from pedestrian W124 cars.
There are two part numbers:
124 970 03 50 (leather, up to end of model year 1993)
124 970 93 50 (leather, from E500 chassis #064026)
The pedestrian 124s share these part numbers, if they have leather upholstery.
MB-TEX headrests have two other part numbers, 124 970 53 50 and 124 970 14 78.
Velour headrests have yet another part number, 124 970 97 50.
Hope this helps.
Cheers,
Gerry