I don't believe there is a choke fuse, but there might be a fusible link. But, you should NOT have voltage going to the choke with the key on engine off. The oil pressure switch is what turns on the choke. Once the engine builds oil pressure, it completes the circuit turning on the choke, this is so the choke only turns on when the engine is running. The reason for this is because people would turn the key to on, engine off, leave it there, then in a few minutes the choke would be open, and the car would be harder to start. Plus it helps save the battery.
Try checking it again, see if you have 12 volts when the engine is running.