Hi,
Could do with more infomarmation on what Model/Year you have!
On my Vivaro (2005 1.9 CDTI) with the F9Q 760 diesel engine, it is not a conventional 'relay' as such, but instead it has a 'PHCU' (Pre-heat Control Unit), which is wired directly to the ECU and the Glow Plugs through a Connector Plug. It is bolted on the Engine side of the Longtitudal 'cover' that protets the ECU, loctaed next to the Main Fusebox (under the Coolant Header tank) you mentioned in your Original Post.
It is circled in Red on the diagram below:
Hope this helps,
Tom