Hi @er.simarpreetsingh, welcome to the Cayenne Community.
Have you been able to connect your Arduino Uno using ESP8266 as a shield with Cayenne already? If not, see this post for some example code to get your started.
To add a Relay, you can use the RelaySwitch example in the Arduino Library. You’ll need to configure it for the pins on your relay and Cayenne widget per the comments at the top, and then combine it with the connectivity sketch linked for Uno/ESP8266. If you do get stuck doing this, show us your code (you can blank out the Cayenne token), and we’ll be happy to assist.