If you turn the key from off to run ( do not start ) does the theft light go out ?
How did you check the fuel pump relay ? My 2001 at ~ 35K miles the fuel pump relay went out, I checked it by swapping the trailer tow adapter reverse lamp relay into the place of the fuel pump relay.
The thing I am drawing a blank on, and you seem to confirm what I think, is the fuel pump relay is removable in the '02. Must be the '03 when the fuel pump relay became integrated into the fuel panel ( non serviceable ).
If you jumper the fuel pump relay, does it turn on ( red line in picture below )
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