Quite apart from what total power the Arduino may be able to supply each of the individual digital I/O pins can only supply about 20 milliamps (absolute max for a brief period is 40 mA - beyond that the Arduino will be damaged).
This is not enough to power any relay with a coil (a solid state relay would be OK). There MUST be a suitable transistor between the Arduino pin and the relay coil power supply.
...R