Relay is like a game of telephone. When you play telephone, one person whispers something to the person next to them and then each person whispers it to the next person until it reaches the last person. Each time the message is whispered it can change a little bit until the last person has something completely different than what the first person said.
Relay is like this but with computers instead of people. It is a way to share messages from one computer to another in a secure way. Computers use special codes called encryption to keep the messages secret. A message is sent from one computer to a relay computer and then the relay computer sends the message to the next computer in the chain. Each computer in the chain verifies that the message is secure before sending it to the next computer. This way, when the message finally reaches the last computer, it is the same message that the first computer sent.