Fuses and relays perform two different functions in an electrical circuit and neither is a substitute for the other.

You would use a relay to switch a heavy load rather than a switch, but both need to be fused to protect the circuit.

Fuses are used to protect the circuit in case of a short.

They say there are no such thing as a stupid question.
They say there is always the exception that proves the rule.
Don't be the exception.