Between the ignition switch and the relay, but first, try swapping in a different relay! I haven't seen that suggested yet. Relays are a common failure point. You already know the wiring from the relay to the pump is good, since it works when jumpered.
Quotes to live by:
guessing gets expensive
nothing is more expensive than a cheap BMW
buying a ratty example (of a BMW) is a parasitic relationship.(and you ain't the mosquito)
Ken Kanne, Silverhill, AL, E36 Forum Mod/Craigslist addict/Hoarder of all sorts of stuff
1995 318is "Bebe"; 1993 325is "Elvira"; 1985 635CSi "Katja"; 1984 633CSi "Sylvia"; 1987 325is "Odette"