Ok. There are I think three options (I have a 2004, wiring codes etc. might have changed):
1/ There is a permanent live into A4 on relay 38. Usually (ie OEM) relay 38 is commanded by the BCM sending a 12v signal to the relay's control coil. C3 is a permanent ground. The 12v signal enters the fuse block at C3, F11 and originates at the BCM on C1 19. It is circuit 1317. Have a close look around A4 and see if it has been wired to a 12v supply. Relay 38 A3 comes off fuse 22 and is a permanent 12v supply to the power side of the relay, ie, the power to the fog lamps. C4 (fuse block D10) is the 12v circuit to the fog lamps (circuit 34).
2/ The fog lamp switch is permanently grounded (or the circuit to the BCM is grounded). The switch grounds C2 16 on the BCM (circuit 192).
3/ The BCM has been reprogrammed in some way so that it always commands the fog lamps on, irrespective of the position of the switch. I don't know about options codes, but sometimes there are parameters that can be set into the memory of a BCM that cause different behaviors, usually for export markets or different legislation areas.
You might need to find an auto electrician willing to unpick the pins in the harness end at the BCM. It can be done if you find somebody who knows how. If you do that it will be easy to find out where the signal originates.
The workshop manual has a dedicated section to 'fog lamps always on', 8-500. After taking out the relay, lamps go off, it says: Step 5, with a test lamp (or volt meter), probe the fog lamp control supply circuit (ie relay 38 pin A4). If it lights the lamp, go to step 6, disconnect BCM connector C1 (relay back in). If lamps stay on, you have 1/ above. If go out, disconnect BCM connector C2 and reconnect BCM C1. Lamps illuminated? Go to 11. Replace BCM, ie 3/ above. Lamps out, go to step 8 instead. 8 is shorted fog lamp switch. The final alternative is defective switch or circuit, 2/ above. Following the diagnostics is a carefully worked out sequence of tests to find the fault at least cost and will be what a qualified tech follows.
Have a great 2019!