I think TC is right, but I'm concerned what the ungrounded terminals on the fan might do. They are likely to sit at some intermediate voltage, and may ground the bulbs enough to cause a glow. May work fine, though.
If you do it this way, you would need to connect wire as thick as the fan wire, as far as a fuse for each circuit. After a low value fuse (1A) you could use 1A rated cable to the bulb. This is important because if you splice in thin wire, and it gets shorted, it would try to carry the entire fan current. The fuse would not protect the wire as it is designed to protect the big wire.
Putting an LED (Light Emitting Diode) on the drive to each relay might work better, and being low current means less risk in case of trapped wiring. I would think the diagnostics in the Engine ECU (Engine Control Unit) would live with the extra 20mA. Could probably connect in the plenum too, rather than at the fan end.