Hi, well a relay is basically an electro mechanical device that can power high current loads (like fog lights) under the control of a low current circuit ( operated by your dash switch). Relays come in all shapes and sizes and voltage/current ratings.
I am going to "guess" that Thor would have provided the relay if you have one for your fog lights......they should be able to tell you if they did and where it should be located. Sometimes finding the devices in our coaches is the worst part of it all.