Welcome! It can all be a little confusing.
Let’s start with the most basic stuff. What is the brand and model of the switch, the brand and model of the relay, and where are they installed?
You said they do work in a scene. Can you show us a screenshot of the things list in the mobile app that identifies both the light switch and the relay?
Most commonly, you would use the official smart Lighting feature to have one Lighting device trigger another device. So I’m going to go ahead and link to the instructions for that, just in case that’s the only concept that you were missing. You will select the target device, in this case I believe the relay, and then you will say that you want it to go on and off when the switch turns on and off.
If by chance, we are talking about a different kind of set up, where you have an in wall micro on the circuit, and you have a dumb switch (not a smart switch) wired to that micro and you want to have that switch cause tthe micro to go on and off, that’s a different situation. In that case, the relay will show up on your things list in the mobile app, but the Switch will not. That would then be a matter of wiring, and will depend on the brand and model of the relay.
So let’s just get some basic information about the set up first, and then we can figure out what your next steps will be. 
Then later after you get past that point, you might find the following FAQ helpful ( this is a clickable link)