Not quite. The reason they go to a higher voltage (240 vs 120) is so that they can deliver greater power (watts) on the same wire or the same power on smaller (ie. lighter) wire. You can deliver the same power at 240 volts as you can with 120 volts but with 240 you would need half the required current. The two big players when it comes to electrical heat generation are current and resistance (W = I2 x R). The big demand on higher voltage systems comes down to adequate insulation of conductors, etc.

Now in the case of a relay, true, the higher voltage can lead to greater arcing between the contacts, which in turn can lead to carbon build up and increased resistance. But, the heat generated across that resistance will still only depend on the current flowing across the resistance. One the circuit is made, the actual voltage that the relay is operating at becomes pretty much a non issue.

If you had said that at any fixed resistance, an increase in the voltage would result in an increase in current and therefore heat, you would be spot on. But an increase in resistance for any fixed voltage (wether it be 120 volts, 240 volts or 2400 volts) actually results in a decrease in current and a corresponding decrease in heat (ohms law, I = E/R. As R gets bigger, I, current, gets smaller)

I'm not an electrical engineer, but I did stay at a Holiday Inn Express last night.