For now, dont tell.
If it comes up to bite you in the ass - tell the truth, but say "I seriously thought she was joking, I'm not attracted to her in any way. Its your cousin for pete sake." And I think you will be golden.

As for the cousin, just forget it, think of it as a thing of the moment. Like hooking up with someone thats just a friend, means nothing afterwords.

One of my Ex-GF's friends was trying to get me in the sack and I (foolishly) was ammused by her (evil) attention and let her flirt with me. Well when push came to shove she told my ex and said I was the one persuing her.
THANK GOD I had an e-mail to prove that she was a lying hoe bag and she wanted my nuts, but damn that was close call and I was part to blame for "letting the fire burn".

From my experience, nip it in the bud if it ever arises again, and take proper action if necessary - don't let her cousin get her "story" in first.