your sister probably flew off the handle because she doesn't know about you and him, and probably thinks that YOU were going to say something negative about them being cousins.
definitely you should talk to him. but i wouldn't say much other than "goodbye". but i'd still talk to your sister. i don't know how to go about it, and you might consider doing it in writing. give her a christmas card or something and just include a really brief warning in it.... "he's a dog, and he'll break your heart given half a chance, ask me how i know." she may or may not come to you for an explanation. but at least you've tried to warn her.
i know it probably seems odd that i am so in favor of you talking more to your sister about it, but you're sisters! that's more important than this dog... and i feel badly calling him a dog, as if it's disrespectful to the canine species LOL. but sisters should always have each other's back. if she knew about the two of you, she probably wouldn't even give him the time of day, because she wouldn't want to betray you. so when she finds that out, AND when she finds out what he's doing to you, hopefully she'll kick his sorry butt to the curb, which is where you should leave him too.
can i ask why you got involved with someone who was already involved with someone else anyway? it's never fair to have your relationship hidden like you're some blow-up doll he keeps hidden in his closet.
pardon me while i go way off topic here.... but anyone listen to tiger's mistress when she said she felt betrayed because she thought she was his only mistress? she was all depressed and hurt because she had thought what they had was special... i was flabbergasted by that comment. what made her think he'd be faithful to her, when she was already "the other woman"?
maybe that's actually not so far off topic. if you can look at someone else going through a similar situation, it might give you some clarity in your own...