Maybe the start made the family relations sound confusing because the female cousin is a retard and thinks it's only incest if it's the immediate family, but the aunt made it pretty clear they're cousins and she's related to the male cousin as his mother was her twin sister.
Also *technically* you could also add the sister tag as they're genetically half siblings since their mothers are identical twins. And they have 25% shared DNA as opposed the 12.5% that cousins usually have.