Hi @er.simarpreetsingh, I wanted to let you know that we recently added official ESP8266 support to Cayenne through Add New > Device Widget > Microcontrollers in the web dashboard UI. I should be clear that this is support for ESP8266 as a standalone board to do your project with, not as a Wifi shield to be combined with an Arduino (or any other device).
Is it possible that you could design your project in this way so as to rely on our official support rather than sketches obtained through this community? I think if you are just turning controlling a single relay this may simplify your project a lot and allow you to eliminate the Arduino from the equation entirely.