Lookin at your photo again closely, it looks like you have the relay on the left (in the photo) wired incorrectly, the power/gnd wires look reversed? (At the regulator)
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you are right! 
the left relay is wired incorrectly.
but the right relay is ok.
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Moreover, that battery is really power limited, it would be better using a proper power supply.
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yeah ! I did not think about it !
9V battery delivers only 500 mA !!
and he use a regulator …
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The relays should only draw around 100-200mA each but connecting the one the wrong way may be dragging the voltage down too low.
@Sreehari, can you connect the relays back as you had before using the VU pin and post a picture? It should work better using the 2A 5v power supply.
Edit: - Without the voltage regulator…