And a neon should be just fine connected in parallel with the load. An LED would NOT be fine!
That depends, is the 127V the ac mains voltage in your country?
If yes, then a 120V LED would work but I imagine it would be too big.
The neon is OK
I have another system, with Raspberry, which works fine without the transistor. But not this one. If I take out the transistor, it doesn't work right. When I turn on the system, the SSR lets the load pass even though its led (the one incorporated) does not light up. With the transistor, everything works great. Until I put the neom.
Yes... the voltage here is 127V. I thought the problem was caused by the neom and so a led would work. Unfortunately I don't have a big enough resistor to test.
Assuming you mean a little indicator-type LED they are DIODES so only pass current in one direction. So if you apply AC 127V through a resistor large enough to limit the forward current on one half cycle, on the other you will get full mains voltage across the diode which will make it toast. Of course you could use a "lighting" type LED with internal circuitry to cope with AC but it would probably be too big and too bright as an indicator. I'm fairly certain that the neon is not the problem it's the way you are driving the SSR as Jim says.
So the circuit in the data sheet doesn't work either?
I checked the connections without the transistor and saw that I had reversed the wires. So now it works without the transistor/resistor. But the neon problem remains. And look how interesting. Without the neon, the SSR passes 60v (even though my city is 127v). When I connect the neon, even with the SSR in the off state, the output is ~140v... even more. And regardless of the SSR being on or off, the neon is lit.
How about that?

Sorry if I've missed something in the previous 28 posts.
Why are we answering the question as asked?
Surely the simple solution is as follows:
The OP has a 5V supply.
He needs a visible indication
So - USE AN LED INDICATOR. Like this
No need for SSD, hazardous voltages or punt unreliable neon lamps.
You did.
The relay also controls a heater and a pump.
As I mentioned before, I was not sure that a gas discharge tube would work with the relay and I think you have proved it will not.
@mvrinaldi
The diagram in post 28 will work
It is perfectly normal for SSR. Your SSR is probably based on triac scheme:

Triacs will newer switches OFF completely. It will not cuts off voltage, it regulates a current only. So your load will be always under AC voltage. This feature must be taken into account when designing a circuit.
It can't fix when you using a SSR. According to the above, SSR is not suitable for low current loads, use a contact relay instead.
The SSR contains a snubber network, even if the triac is not conducting then a small current will still flow - enough to light the neon.

Have you tried the neon with the pump and resistor connected?
This may cure your problem as the small current that is flowing will preferentially flow through the low resistance pump/resistor.
Hi,
This will be your main problem.

They are very loose with their specs, not very reliable and not sold by reputable sellers.
I'm surprised Sparkfun endorse them.
You will be lucky if 3V is enough to activate the output, that's why the 3V3 from the 8266 was not working direct, putting 5V and BJT was the best idea.
Have you measured the voltage across the SSR input when you activate and deactivate it.

Thanks... Tom...
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I do not agree with you.
I don't test that specific SSR, but the similar relays that I seen were normal product.
It control voltage rated from 3 to 32 v, so I think it should works fine with ESP8266
wow!!! I was so focused on making it work after the SSR that I didn't even think about this simple solution!!!!! It worked!!! Thanks!!!!
Just for the record... the SSD is plugged into the esp8266 and I've measured the voltage as Tom suggested and it's getting around 4.10v when on!!! More than I think would be normal for the esp8266.
But the SSR is only delivering ~60v instead of the 127v it should be delivering.
I tested another SSR I have and it delivers ~70v
It seems that your measurement were incorrect.
Hi,
If you measure the voltage across the SSR input when you activate it, do you get near 5V?
Can you please post your code?
Are you using analogWrite or digitalWrite on the output pin?
Have you tried some simple TEST code that just cycles your SSR every second?
Thanks.. Tom..
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Hi Tom,
Yes... around 4V... the SSD is plugged into the esp8266...
unfortunately I don't have the code because I installed it via bin from this location:
It's an idea. I will test it
Does the LED stay on when the "resistance" is connected?
Tell us something about this "resistance", it's voltage rating, resistance in Ohms and wattage.