Data warehouse with foreign key I have data that I extract and from sam.gov and fpds.gov and a few other sources. and I throw the data in a warehouse. The sam data I just throw away at the end of the month and add in the updated data from sam.gov's public extracts.

I am not using a foreign key between the fpds and sam data but there is a relationship between them, and I am able to join them based on a certain key in the data. Should I create a FK relationship between the two tables or just continue without one?

There is a one-to-many relationship from sam -> fpds.
DWs normally go without FKs, since there's normally no DML apart from loading the data into its tables.  You want this to go as fast as possible, while the integrity should be guaranteed by your sources.