I have found a work-around that proves that the issue is with the pin LOW/HIGH setting. (When cold it is HIGH and when hot it changes to LOW)
TEST: I have set the temperature to turn the fan off at 50 Celsius, and I run a stress test (stress --cpu 4).
RESULT: When the temperature reached 50 Celsius, the relay was turned off (relay wiring was biased off).
WORK-AROUND: I then open the box and rewired the fan to be biased on. It now works as intended, once the temperature reaches 55 Celsius the relay turns off, causing the fan to turn on.
But that is not intended behaviour as I have current flowing most of the time to keep the relay switched, and I want to avoid that.
Is there a way to set the gpio (14 in this case) to default LOW?