Voltage control relays, Should I use separate power supply circuits?
So, why in this industrial applications they use 12V to control the
  relays?


While 5V relays are available, they are less commonly used probably because 12V is already available for most applications (especially industrial) and relays with a lower voltage have higher current requirements. A 3.3V relay would have an even higher current requirement if the relay is in the same family, some relay families don't go as low as 3.3V in voltage. 

The problem with relays is the high inductive load. The coil can sink a lot of power when it is turned on. This causes power dips on the power rails of the power supply, so a voltage source that is low impedance and can source current well is recommended. 

In the projects I have done I usually use 12V or 24V relays depending on what my main supply voltage is. If an 5V or 3.3V LDO is used it will regulate any dips in power to digital electronics because the relays might drop the rail momentarily but not below the LDO voltage. Also, Sometimes even using bypass caps with a relay does not solve the problem.  


  If you suggest to separate the power supply, could I use two separate
  (with two regulator) 5V line instead of a 5V + 12V? And in this case,
  I could connect together the two grounds of the two power lines in the
  PCB?


I recommend putting the digital/analog on a separate rail than relays. Realize that relays downstream from an LDO creates large thermal losses and loss of power efficiency because relays use large amounts of current. Relays don't need a high amount of precision with an LDO. It would also be better to consider a DC to DC converter for voltage regulation for relays as they are more efficient.  

The grounds can be connected and do not need to be separate. However, realize that currents return to the source, which could affect low level measurements (under mV's), if the ground currents from the relays pins run through an analog section it could create problems. Read up on some of the split plane questions like this one Single ground plane vs split planes?