Arduino Detect something is connected to relay
You're on the right track, but there's details is in your drawing that make it unclear. Rather than dive into that, have a look here: (simulate it here)

Like yours, this circuit uses a low sensing current to detect whether there's a low impedance (that is, relay plugged in) or not. The current is low enough that it can't pull in the relay; when the relay is plugged in the coil resistance is low enough to resolve a valid low. The sensing is disconnected when the relay is on.
Basically,

Relay is plugged in, sense is close to zero
Relay not plugged in, sense is 5V.

The Arduino should be able to read that no problem.