Will there be any issues in if I install Mercedes Xenon lights in my car ?

They are hideously bright headlights. The primary issues will only be with the cars in front of you and the temporarily blinded drivers who are operating them.

Xenon headlights are just a different type of headlight. They are particularly bright giving the driver excellent night visibility. If you’ve seen a car at night & it’s headlights seem to have a blue tinge, then you’ve seen Xenon headlights in action.
Assuming your car is a Mercedes, I would strongly advise against retrofitting them. Firstly the physical size & shape of the light unit is different to the one you’ll be removing. Secondly the wiring loom for Xenon lights is different to what is pre-wired into a Mercedes that’s not factory fitted with Xenon’s. Thirdly, Mercedes xenon lights are fitted with self-levelling motors to reduce dazzling oncoming drivers. Without the correct ‘Star’ diagnostic machine you will not be able to set the motors correctly, so will dazzle other drivers, right up to the point you get pulled over by the Police. Fourthly, if you do the job correctly, the cost will be prohibitive.
Incidently, if you’re thinking of fitting them to a non-Mercedes, then you’ve got all the above issues plus about a hondred other one’s to consider.

I have installed Xenon driving lamps on both my M-Bs: a 1962 190D and a 1972 220D. I didn’t replace the actual headlamps, but installed them on a light bar (along with sets of fog lamps) above the front bumpers. The driving lamps are wired into the high-beam circuits and the fog lamps to a dashboard switch. An arrangement like this gives you the advantages of the bright high beams without the hassles of finding an exact fit and having to cobble together a bastardised wiring harness as @TheJoker describes. I’ve also installed a photoelectric automatic dimmer switch to the high beam circuit of each to avoid the dazzling issue. The lamps I used are Bosch, not M-B factory types.

If you are going to do lighting retro-fits on older cars, consider adding the rear window mount third brake lights as well, the extra safety margin is worth it since drivers expect to see them. I’ve done this also.

As the driver in the oncoming car who usually gets dazzled, I hate them!

@Dr_Dredd The cheaper cars don’t have the automatic dimmer circuits, so they go around blinding people.

I had a mercedes with xenons and it drove me crazy people flashing their lights at me all the time thinking I had my brights on-