Hi,
No, I dont think this is possible with OOTB feature.
But i do have below suggestions.
You can store the relay state parameter as a cookie and send this cookie when you initiate custom inbound SAML authentication flow and add this as SAML Assertion attribute. So SP (service provider) can read this and set them as HTTP Headers, using this header value to redirect the browser to this target after the user finally made it to the web application secure home page.
Also we do have an option to set the assertion attributes as HTTP Headers in siteminder ( when siteminder is acting as SP) but in your use case siteminder is IDP, Hence you can not use this feature.
hope this helps.
Thanks,
Sharan