@kavi,
Stop obsessing over it and learn to live with it. Do something else when he's visiting the kids. I'm sure when you have your own kids, that'll change. She's his cousin, not his sister, as you know, and he's given you a perfectly good explanation as to why he's visiting.
You can also plan some fun things to do on the weekends for yourself that he may also wish to do with you. Put a positive spin on it and it may change your outlook or at least minimize the annoyance you feel. Seriously - this is about his nieces/nephews not her and they're his family. Learn to live with it. Ignore her if she's rude to you but otherwise, be polite. Don't say any more negative things about her to him. It doesn't help. At. All. Be the bigger person and find something to occupy your free time that you really enjoy ... take a painting class, read some books, learn to cook a different culture's food, take up knitting...the list is endless. And be happy! Happy, positive people attract people to them.
Good luck to you and congratulations, Mrs. Newlywed!