have you checked the actual turn signal actuator thingee? your lights arent flashing in conjunction to this? i have the same issue as mine, i went over to nicoclubs 240sx section and found out what it may be, from what i can figure its in the a/c heating ducting behind the dash. i followed the walkthrough someone wrote up on that site and had it taken care of after a couple hours :P
good luck, i cant remember the thread but you might find it if you search some.
240sx section