The Service Bus Preview does not display Azure Service Bus Relays in my hands.
The Service bus is in preview in the new Azure Portal and I used it to create this service bus. I created a Azure Service bus relay but could not find it anywhere in the new portal. Without this it is not easy to check whether you have created the relay or not.
Thankfully when I checked the old portal I can still see the Azure Service Bus Relay that I created.
I hope the Microsoft team fix this before it comes out of preview.