I checked Edmunds recall and TSB data for this model; but found nothing at all about a horn problem or recall. If you posted the wrong model year; or your car was really manufactured as a 1996 or 1998 model; that might account for it. It also might be that when a small part is identified as being defective; the manufacturer will replace it without charge when someone comes in to buy a new one; but they do not publish a recall notice.
I would suggest testing one of the horns you have; by connecting it directly across the vehicle battery (after first definitely identifying the negative and positive horn terminals). Electronic modules will usually be destroyed by reversing the polarity of the power wires. If the horn sounds when connected to the car battery; then the problem is not in the horn; but is somewhere else in the circuit. You will need a voltmeter or an inexpensive 12 volt test light to test the horn circuit.
1> Make sure there is 12 volt power at one of the horn wires, when the ignition key is on. If there is no power at either of the horn wires; try replacing the horn fuse with a known good one of the same rating (even though the present fuse looks good). Fuses will sometimes go open internally; but it will not be visible to the eye. You could also run a power wire to the horn from an alternate source (preferably a fused source).
2> If there is power to the horn, but the horn does not sound when the button on the steering wheel is pressed with the key on (which normally grounds the low side horn terminal); try temporarily touching a proven good ground wire to the low side horn terminal. That should make the horn blow. If it blows from the ground wire but not from the horn button; you'll have to either trace and test the horn wiring circuit; or install and connect a horn button in another location in the passenger compartment. The ground return path between the horn mounting bracket and the battery may also be disconnected or non-existent. The horn probably will not work unless the bracket is grounded. Sometimes it may be necessary to run a dedicated ground wire from the horn bracket to the battery ground cable
3> If the wiring is good; but the horn does not work when connected across the car battery; I would not get another horn from the source where you got the previous ones. www.rockauto.com sells NINE different horn models for this car (under the "electrical" category). Surely they are not all defective. Many cars use two horns in parallel (a low pitch and a high pitch one). So there may be two horns on your car. Usually; one goes bad while the other one still works. Standard Motor Products also makes a horn with spade terminals (which suggests that the plug for the Saturn horn with pin terminals may have turned out to be unreliable). In that case; the plug can be cut off and the wires re-terminated with spade connectors.