Probably not a fuse. Use the fuse index card and check all fuses associated with the anti-theft system.

When you flash the hazard lights are you using the red button on the FOB? Does the siren sound when you use the red button on the FOB? If you get no sound from the siren, remove the black plastic cowl under the windshield (windshield wipers must be removed) and disconnect the siren, You can drive the car with no problems with the siren disconnected.

After completing the two steps above if the problem persists then remove the plastic under the carpet in the hatch or truck and look for corrosion on the connectors at the CLP/SSM and water intrusion in that area. CLP= Central Locking Pump. SSM= Security System Module.

Using the search box in upper right corner and the google option gives lots of info on the CLP/SSM.