@skywatch If it's acceptable for the relay to not react immediately on request from your controller, then you could queue the request at the server end and wait for the relay node to wake up and check in. For example, a system opening the blinds when the sun comes up wouldn't care if it was exactly at a given moment. If a delay of up to 10 minutes is acceptable, this could be quite a bit of battery savings but even 1 minute would probably save some battery.
You could also just keep transmitting until there is an ack (be sure to comply with your local version of the FCC for transmission time limits.)
Unfortunately, holding most relays closed takes a whole lot of power and toggle type relays are quite expensive. An SSR might significantly reduce this but would still require some power to hold the SSR and some circuitry to latch it while the node is sleeping.
All of this might take a bit of a smarter home automation controller or some separate glue code between the controller and MySensors. (I use Node Red which could do this easily.)