Wait? You lifted the fuel shut-off lever UP?!?! That should allow fuel to the pump..... is that a typo, or do you have something other than the factory fuel shutoff?
Here's a link to the relay from Geno's that I mentioned earlier. It is located on the firewall. There are two of them there and I don't recall which one is the fuel shutoff relay, but maybe someone else may remember. I am thinking it is the one closest to the master cylinder.
FUEL SHUTOFF RELAY ('94-'98, 12V)-Dodge Cummins Diesel Truck Accessories – Geno’s Garage