Loading extensions works fine, I asked this because I really have another issue I’m trying to troubleshoot, see here: Tensor.backward called within C++ extension hangs 1.
I am just confused why that line appears and whether it might indicate a problem.
Here is what I get for your specific example
>>> import torch, os
>>> os.environ['CXX'] = 'g++'  # my default is c++, which fails
>>> from torch.utils.cpp_extension import load_inline
which: no nvcc in (/home/...:... i.e. my $PATH)
>>> cpp_source = '''
... torch::Tensor my_fun(torch::Tensor z) {
...   auto s = torch::relu(z);
...   return s;
... }
... '''
>>> module = load_inline(name='inline_extension', cpp_sources=[cpp_source], functions=['my_fun'])
>>> module.my_fun(torch.randn(10))  # everything fine.

Pytorch is only installed in the virtual environment, using pip. Do you not get the “no nvcc” line? For reference, here is exactly how I installed pytorch from scratch:
python3.7 -m venv env
source env/bin/activate
pip3 install torch==1.3.1+cpu torchvision==0.4.2+cpu -f https://download.pytorch.org/whl/torch_stable.html