There are relay´s made specially to avoid thermo voltages,
These are however hard to come by, if anyone knows of any manufactures who produce them please write a line or two
We use Aeromat relays to switch load cell signal leads. They are rather old, about 10 years and not sure if Aeromat has anything new as a cross reference. If needed I can look up the old part number.
We also use COTO 3500 series relays. They are acceptable but not nearly as low EMF results as the Aeromats even though the catalog specs on them are the same. In our own in house tests we see approx. .0005 mV error over 100 degree F. The Aeromats are closer to .0002 mV.