There might be a short circuit in the wire loom (due insulation damage), or in the fusebox,
between the 5th and 6th fuses / fuse terminals.
As far as I know the sidelights are operated directly by the stalk switch, no relay is involved.
While the stalk switch is off and the side lights are on try to remove the 5th fuse from the fusebox
(one yellow wire goes to the one end and three yellow-black wire are goes to the other end of the
fusebox related to this fuse), this helps to identify the location of the short circuit:
If the sidelights are going off when the fuse is removed then the short circuit is before the fusebox,
probably between the stalk switch and the fusebox.
If the sidelights are still on with the 5th fuse removed, then the short circuit is after the fusebox.