If the hot ( non brown ) wire to the alarm horn has no voltage when the alarm is in the activation mode and the headlamps are flashing to indicate the alarm is working, I would say you likey have a bad alarm control unit. It should be located under the floor carpet in the passenger foot well (front). It is the black plastic rectangular box, usually marked Becker. In any case, I believe it has the contacts and relays built in to it, I didnt think there is an external relay for it. A good note is that all the alarm units from most any W201 W124 and maybe others like the W126 cars seem to be the same. I had a bad unit, set off without the proper trigger, and I replaced it with a control unit from a competely different year and model unit and it works fine, fixed the problem.
I will check the wiring diagrams I have and see if it shows a relay.
Good luck

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Christopher Henkel
1990 190E 2.6 - Arctic white SOLD
1986 190E-16v - Blauswartze
1993 300CE - SOLD
2003 W208 CLK 320 Cabriolet - Magma Red