No, this is not how this works, just like “2 Learner’s permits do not make a Driver’s License”
As you said in the OP: neither of you have prior Auto loan/lease on your credit bureau. MBFS is not loaning someone(s) with 0 prior auto loans that much car. You need a cosigner whose bureau can carry it, or a less expensive MB, or a different brand.
Yes, it’s not at all like bringing a credit union check. Any leasing company has to have a relationship with the dealer, their systems setup to process their applications and print their forms, and all the finance people have to be trained. Outside THE brand captive, it’s on a dealer-by-dealer basis. Search for posts about RR or Toyota customers seeking US Bank.