How do I protect analog circuit from relay switching noise?
Due to their low output voltage thermocouples are very sensitive to interference, and depending on the kind of load the arc of a switching relay can be a strong radio transmitter, which may disturb the measurement.
Instead of trying to suppress the interference I would ignore it, i.e. drop the measurement during switching. Temperature doesn't vary that fast that you can't interrupt measurements for a few tens of ms. And you still can interpolate if you want.