The relays certainly can fail, it's worth a check if you have an extra one around or can sub another from the relay panel. Have you checked for voltage all the way to the horns themselves while the horn is active?

__________________
Alex
MB Star certified, now independent.
Owner/Operator FDMotorsport Mpls. MN
Mercedes and GM certified transmission rebuilder
We all need a little help sometimes...

1998 E320 4MATIC-- stolen by my sister
1989 300TE-- sold
1999 C230 Kompressor