They will usually measure about .5 ohms or just a little under. That is hard for some ohmmeters to resolve. It may look like a short, but there is a little resistance. With 3 or 4 glow plugs in parallel when they are all connected to the buss they would look like a dead short. The engine block itself is the other conductor, the "ground side". As noted above, most would probably fail open. However many other things can cause the problem of no glow plug heating besides the glow plugs. The glow plug relay, glow plug timer circuitry, fuses, and or wiring/continuity problems. The first thing to do is to measure for voltage on the glow plug buss, and then work forward or backward depending on what you find. Another way to determine if a glow plug was working would be with an infrared hand held thermometer.
James K0UA