I think they sell tracers at Lowes and Home Depot, but if it didn't work through the walls, etc, I don't know if you could return it, even if it was still in like new condition. The relay can not be installed behind sheet rock or otherwise sealed in, by NEC code. Normally it would be in line with the 240 volt conductors from the panel, to save wire, but it may have been placed in a crawl space or attic, or behind an access panel in a closet to keep it out of sight. Can you look at the stat wires and see if they go up or down? Just to be sure, if you remove the stat and cap off each wire, does the heater keep heating?