The best way to check this, and its a very simple visual way, is to remove the cover on the relay so its internals are exposed. you can then physically push it on to check that the fuel pump side of things is working correctly.
I presume it does not prime at all, or click on and off when you turn the ignition on? It would seem if that's the case that the ECU is either not responding right, or its not powered on right. Its one of these things that I could really show you quite quickly how to do this but to actually explain is a bit more tricky.
However I just have had another thought. Find pin 104 on the ECU. Turn on the ignition, wait a few seconds then measure the voltage at pin 104 to ground on the car. It should read around 12v. However when you first turn the ignition on it should read 0v ish for a couple of seconds then go back to 12v, if you try to start the car it should go to 0v whilst trying to start. This is the fuel pump pin. If you ground this pin i.e. take a wire from the back of pin 104 and hold it to ground on something the fuel pump should turn on.
Ed