My car is an '01S with Litronic headlights. The relay diagram doesn't show any relays for the high or low beams. If these are the same conditions for your car, then you might try this as a next step.
IIRC, so far you've checked the fuses and the bulbs. And you're reasonably sure the light switch works OK. As a next step, I would check to see if you are getting voltage to the headlight plug. To do so, remove the headlight assembly and turn the low beams. Check the voltage in the proper socket in the socket assembly attached to the headlight tray. If you have voltage there, then the problem lies in the headlight itself, probably the ballast.
I've attached the wiring diagram from a 2001 as well as the wire color coding chart for reference. I don't know if its the same coloring on your car, but I would guess the low beam socket is the low beam socket from year to year.
