I have a 2012 Jetta TDI and recently had a similar problem. I had lukewarm heat on low fan settings, especially when driving, but it blew cold air on settings 3 and 4. Took it to the dealer and they replaced the heater core. It was a very expensive repair but the problem is fixed.

 

If the thermostat is stuck open it's not an easy job to do, it's in with the water pump so most replace the water pump too. As you are looking down from the front of the car, it's on the driver side down below the air filter unit. I've watched The Humble Mechanic on youtube change one, it's not a fun job. It's cheaper than the labor replacing the heater core, you could try having the cooling system back flushed first.