@Lash,
Lash. there are so many good posts that I have little to add except that your fiance should most definitely stand up for you. I know you wouldn't want him to come running to your side with sword in hand, but he can talk to her gently, telling his cousin that you are his love and he is hurt when he sees you hurt.
A simple explanaion with no recriminations would let her know that he is deeply in love with you, but that he still cares for his cousin.
I really worry about years from now. Apparently, his family surrounds the two of you. You, as far as I know, have no family out there. He has to know that you are a stand-up, independent woman, but there are times when support is vital to a relationship and this is one of those times.
We all care for you too, but we can't give you the real life support you need from your fiance.
Forgive my bluntness.