I had a similar issue. The horn didn't work at all and when the hazards were on you could remove the key and the engine would continue to run. More than one switch was incorrectly wired. I suspect your hazards are picking up an earth through the horn switch. From what I remember they have a common earth rail. I put a photo on my M3W blog of the switch (horn)
https://westmogspring2015.wordpress.com/2015/04/10/niggles/I don't have a photo on file of the hazard switch and not at home at the mo
