Look, I know this is a niche corner and some readers get weird about the theme, but the blurred line between 'forbidden' and 'found family' can be compelling when handled with intent. 'Such Sharp Teeth' by Rachel Harrison isn't a cousin story, but it's a good example of how a familial, protective dynamic can twist into something else with the right pressure.
For the specific request, 'Salt in the Wound' by Sierra Simone, which is a prelude to her 'Priest' series, has a distant cousin element woven into its gothic, yearning atmosphere—it's more about the taboo of the setting and the power imbalance than the blood relation itself. Then there's 'Terms of Surrender' by Shana Figueroa, which delves into a revenge plot where the protagonist reconnects with a cousin from her past; the relationship is a secondary layer to the main thriller, but the forbidden history adds a palpable tension.
Honestly, I tend to skim summaries for 'cousin' tags on retailer sites, but a lot of what pops up feels more like shock value than substance. The few that linger do so because the emotional stakes feel earned, not just because the premise is transgressive.