I can’t add this URL https://genius.com/Moisei-im-not-alone-lyrics to the following Release group “I’m Not Alone” by Moisei - MusicBrainz as I’m getting the error “This URL is not allowed for release groups”.
Am I doing something wrong, because such relationships (Genius links to lyrics) are present in other Release Groups? Example: Release group “I’m Going Slightly Mad” by Queen - MusicBrainz.
Genius links are allowed for release groups, but only genius.com/albums/ links. This Queen link was probably added there before we started actively validating the links and blocked non-album ones 
So how then to add lyrics for Singles / Songs as there is no lyrics option in relationships for Releases and recordings? Or does it mean that the particular lyrics were incorrectly added to the Genius website (i.e. not under ‘album’) and therefore, we cannot link it to MusicBrainz?
You can add lyrics to individual songs using works
A work is an entity that’s used to link all recordings of it together (the “main” recording most people listen to, live recordings of concerts and other artists covering it for example).
Works can also be linked to other works (like translated versions, parodies, medleys) and artists (composers, lyricists)
An example: Take Me Home, Country Roads