That's your O2 sensor circuit. It shouldn't draw with the key in the off position.
http://www.veryuseful.com/mustang/tech/engine/images/94-95_5.0_EEC_Wiring_Diagram.gif
According to this diagram, it looks like it's fed fairly directly from the ignition switch (through a fusible link) - it doesn't go through the CCRM or other relay. So either the ignition switch has a problem, and it's keeping the circuit energized, or something else is back-feeding voltage into the circuit when the ignition is switched off. And the O2 sensors are taking advantage of the available voltage. In this case, disconnecting them via pulling the fuse is treating the symptom and not the problem.
Most likely someone has hacked the wiring harness and caused a problem. If you have an aftermarket alarm, remote keyless, remote start, or radio, suspect any or all of them.