41chevy,
Who supplied the wiring diagram that shows a horn relay? I looked at a '40 factory diagram and a '42 factory wiring diagram. Both identical and neither has a hint of a horn relay.
If you look at your bone stock '41 horn, it probably has two small screw terminals on it. This means no relay. One terminal is battery power from ammeter and the other supplies the ground to the horn through the horn button on the steering wheel.
I think a horn relay in 1941 would have been have been akin to space travel in 1950. I have certainly been wrong before though.
Stuart