relays do not contain fuses. A fuse will not fit in place of the relay. So that's an extremely weird notion. On some setups there may be a fuse located beside a relay holder. Not the same thing.

https://fuseandrelay.com/ford/sierra.html

http://www.bigturbo.co.uk/
http://www.bigturbo.co.uk/main6.htm

And whoever this is with problems, the black/red wire on one relay holder might suggest some relays are inside the car, as black/red is same as fuel pump, at least for the earlier car.