What I've seen most of the time is that that relays are actually fine, and that the problem lies in the full throttle switch. If you are running a micro switch, i would like you to conduct a little test....
remove the microswitch and hook it up to a multimeter. Set the meter to continuity. activate the microswitch ( you should hear a tone from the meter indicating continuity) then shake the microswitch while holding it in the activated position. If you hear the tone turning on and off, the throttle switch is bad.
This is real common and its a terrible gremlin to chase. I recommend fabricating a full size switch to activate the nitrous.