The traditional solution to such "dark current" problems is to hook up an ammeter and start pulling fuses, one at a time, until the current draw stops. Although I'm not familiar with a Golf like yours, the pressurization of the fuel rail while the key is off sounds to me like an invitation to start investigating that circuit.
Could be a stuck relay as you think, or perhaps whatever switched source is triggering that relay is inop. or providing a false ground or signal.
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