dry contact control relay - Am I on the right path
Yes, a dry contact relay is will do what you need.  It must be either normally closed or you can use one with a double throw contact arrangement.  

Based only on what you've revealed about the load so far, there no way to advise on sizing and selecting the type of contact.  You might comment if the voltage you're switching to the load is ac or D.C.  and what that voltage is.  Also, is the load resistive, inductive, or an incandescent lamp?