My thought exactly as roy meantioned. And another thing many people forget and I do as well. Did you properly check for ground at the horn. Or evern a continuity test on the ground wire.
One thing I have come across with switchs like the one you postes, while undoing the nut, the switch tends to twist or turn, unknowingly aa wire can be pulled from a but connector with shrink tubing on it, and never realizing it.
One other thing I have come across with that same type of switch, in which i do have one. Is that its a factory screw up. Mine has a red button and was specifically purchased to cut the power off of a pup engine for a crane.
No blown fuse on your part so I see a bad ground.