Just to put things in perspective,  You are working on What # Santa Fe Engine?
It could be  Postwar? 2333, 2343 2383? 2243? MPC? Modern ERA?  What number is on the engine?
 There are so many things that can go wrong  to cause the Horn not to work in any of these.  Your brother might have put a replacement horn setup in the engine. I say this because 9V Is a bit too much voltage for a postwar horn. They did not come with 9V connections. They worked on 1.5 volt D cells. 9V can damage the coil in the horn of the earlier engines. There are 9V replacement horns available for replacement in postwar 2000 series engines. If so, and that's what you have, It may not be using the original horn relay to control it. It my be using another activator that came with the replacement, like a board.  Can't really say without being able to see the installation.  You say If you connect the 9V battery, the horn goes off, then whatever controls the horn is stuck on or is activated and needs to be looked at as to why  it cant be controlled properly.
Sorry I can't be of more help but with the info provided, it's all I can think of.