Sierra wiring diagrams change over the years. What is the year, model, engine, trans and drive train (2 or 4wd) do you have?
Also you say when you one headlight fuse, which one? or does that make any difference? Either one can shut off the fuel pump?
Here's the thing, it's gotta be more than just the fuel pump that keeps running. Or are you saying the fuel pump keeps running but the truck shuts off? If the engine keeps running then it's a lot more than the fuel pump keeps running. That would mean the the computer is not seeing the ignition switch power off. That why the spark and fuel injector keep working as well as the fuel pump. If the computer doesn't see the key turn off I would look for a short to power somewhere in the computers battery feed wire and the power to the headlight power circuit.