I just created a database data1 with a table table1 having a field1 in it, indexed on field1.

Then I created database data2 with a table table2 having a field1 in it, indexed on field1.

I closed data. Then I did the following from the command window.

use data1!table1 order 1
sele 0
use data2!table2 
set relation to field1 into table1

The relationship worked.

If your question is how to create a persistent relationship between tables in two different databases, I believe that is not possible.