It looks like the more serious problem now is getting the exhaust away from things that might catch fire.
Once that is done (and your wrist is healed) there's some diagnosing to be done about the electrics.
My first question would be, do your headlights have a 'flash-to-pass' feature? In other words, when your headlights are OFF, is there a spring-loaded button you can activate to momentarily flash the headlights? Sometimes this is incorporated in the turn-signal stalk (push the button or pull the lever and the lights flash).
(This is usually the same button you use to switch between high and low beams when the headlights are ON.)
Not all VW's (and not all replicas) had that feature, but if you do, that would help in diagnosing why your lights are on even when the headlight switch is off.
The rest of the explanation is a little long-winded and not worth going into if you're not wired for 'flash-to-pass'.
(Looking at the wiring diagram on the relay in your photo, I think you do have 'flash-to-pass' even if you may not have discovered it yet.)