We develop relativistic short-range exchange energy functionals for four-component relativistic range-separated density-functional theory using a Dirac-Coulomb Hamiltonian. We show how to improve the short-range local-density approximation exchange functional for large range-separation parameters by using the on-top exchange pair density as a new variable. We also develop a relativistic short-range generalized-gradient approximation exchange functional which further increases the accuracy for small range-separation parameters. Tests on the helium, beryllium, neon, and argon isoelectronic series up to high nuclear charges show that this latter functional gives exchange energies with a maximal relative percentage error of 3%. The development of this exchange functional represents a step forward for the application of four-component relativistic range-separated density-functional theory to chemical compounds with heavy elements.