Sounds like a short to me. Have you checked the wiring harness for the tailgate? I know that regular sedans have a lot of weird electrical issues with locks and lighting when that harness starts to crack. And, if I recall, holding the key in lock position at the trunk/tailgate should normally tell the GM to close all of the windows as well. So, if the tailgate lock signal wire is grounding out, the car will think you are standing back there with the key turned. But, I assume you would have trouble keeping the doors unlocked if this were the case. If not, I would try swapping out a GM with one from another 95 e34. The wiring and the GM are the only two things that could cause this. No single relay or sunroof switch would cause ALL windows to misbehave.