Protecting expensive diode from ESD
I'd guess it's something like a Gunn diode or something similar (expensive? check; ESD sensitive? check. Usually made from GaAs). Can't you simply use a TVS suppressor which is exactly designed to protect against ESD? It works like a zener, just it's optimized differently.
The shorting relay option seems a bit extreme to me.
I'd investigate the path for the ESD discharge and suppress it right at the entry point.
Just be careful to juction capacitance, it could influence the circuit (just pick the right suppressor)