Does this Color Code and wiring match what you have?
Switch wiring to BCM
Fog Lamp Relay Switch to BCM and Fuse block wiring
Wait...there's more!
This is the one that shows the FUSED output from the RELAY box - to the lamps themselves...
There is a set of two fuses and the wiring needed to support the lamps as a Fused output from the Fusebox in the engine side...
That's why I asked about your wiring and color code - you'll have to track down this to trace the wiring and make sure you have the support for it.
Please take a moment to review your wiring and make sure you have the wiring correct.
The last graphic, is more for the European models - but you may find the wiring color code matches this - as in one Fog light wire is Yellow Grey, but REQUIRES a fuse to be installed at the location F35 to complete the circuit for it.
But the differences are at PIN 14 of the BCM - or the FOG light wire at the switch - it's color code is Violet WHITE or Violet GREY - two colors that are different, but are SHADES of each other - both use the same pin, but have different outcomes.
Else you'll have to make your own relay and harness for it - the FOG light switch itself just needs ground to make the relay coil side energize so the relay contacts can switch the load. The BCM is or should be sent up already for this.