I think you guys are all way over thinking this. There is no relay in the dash illumination circuit. It goes straight from the headlight switch to the rheostat and on to all of the switch lights, the radio lights, climate control lights, and cluster lights. My bet is that the lamps are all burned out. Does the car have manual climate control or automatic?
If it is manual it is fairly easy to get to the bulbs to check them. Remove the three knobs and the fan speed knob. That will reveal two Phillips head screws. Remove the screws and remove the faceplate for the climate unit. Once the faceplate is removed you will have one of two things ('95 was a transition year) - you will either have 2 W3W bulbs that you can get at any auto parts store - they seem to be transitioning to a lamp number 2821 just to confuse us - or you will have a circuit board with tiny lamps with a plastic socket that twist in.
In either case you can check the lamps to see if they are burned out with an ohmmeter. If you have the later style you will need to pop the circuit board out - it is held in place with three plastic clips and there are a couple of pins on the back of the circuit board that will fight with you just a little bit. The lamps are kinda scarce and Volvo dealers will rape your for them. I think there is a Honda bulb that is only a couple of bucks at a Honda dealer but I don't know the number.
The automatic electronic climate control is actually easier to get out but tougher to get to the lamps. The ECC is held into the dash with some spring clips and it just pops out. You need to remove the radio and then reach behind it and push it out of the dash. It will give a fair amount of resistance than then all at once jump out of the dash - don't hit yourself in the head. Once it is out you need to remove its back cover which is - I think - six screws and then you can get to the lamps from the back of its PC board.
If that fixes the climate unit then you need to fix the instrument cluster as well. Those are W3W (2821) bulbs on all of the VDO units but you need to partially remove the dash top and remove the instrument cluster to get to them. This is also a very good time to proactively change the odometer gears if they have not yet broken. The time/temp or the INFO display should also be illuminated - that takes another funky bulb but you can remove your "service" light and use that bulb in its place. Then your service light will never annoy you and you will know what time it is.
...Lee
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