You can get a Golf TDI here, though by European standards it is not a small car, as there are two smaller sizes from most manufacturers. Manual transmission is available, if you want to tow it, though VW says no.
Beetle on same platform also comes as a diesel.
Jetta on stretched Golf platform comes as a diesel, but we get only the sedan, no wagon.
Mid-size Passat comes as a diesel, again we get only the sedan.
I think you might find VW also puts the diesel in some of their Audi models here, but we do not get any small Audis, the A3 is platform share with mid-size Passat.
There is just not really enough of a market for small diesel cars (or small cars at all) for manufacturers to go through the certification and import them. The big market for diesel engines in Europe is historically driven by a substantially lower motor fuel tax for diesel, in several countries. We put a higher tax on diesel than on gas, and in any case our motor fuel taxes are so low that there is not enough room for incentives to manipulate our vehicle choices.