I've got a 1994 940GL with the 8 valve motor and had the same problem. I bought a fuel pump relay from FCP Groton (3523608), the tall white one, and when I went to fit it I found that it wasn't present on the relay block behind the ashtray, just some markings in the molding base, but no contacts underneath.

It turns out that some of the later 9 series (1994 onwards) have a different layout of relays, and use a blue Hella relay, second from the right in the front row for the fuel pump relay. The one beside it to the right is the same Hella relay, and is used for high beam lighting.

The Hella relays on my car have 5 pins in the base and are marked as follows:

Hella 12V
4RD
003-520-52
Made in Spain

I've been meaning to get around to getting a spare relay, given all the failure stories I read, but I wonder if the later Hella relays are perhaps a more robust unit and don't fail as often.

John Marshall
1994 940GL wagon, 161,000km
Christchurch New Zealand