Presently, 0x based relayers are only able to trade ERC-20 tokens. This prevents Ethereum from being directly traded with other alt tokens. In order for Ethereum to meet the ERC-20 standard, it must be wrapped as WETH. For information on WETH and the wrapping process, please see https://weth.io.
This does not mean you are not able to trade ETH directly on RELAY. When setting your "I want to trade" option as ETH, RELAY builds the wrap directly into the contract. This eliminates the need for two separate transactions.
For more information on WETH and its necessity on RELAY, see "Is WETH necessary for RELAY?"