Actually, and I was really surprised to learn this, it's often NOT considered to be incest. I don't know about Canada, but here in the states it's perfectly legal in lots of places to marry your cousin. For example, where I live in New Mexico, marrying your cousin is not against the law.
Personally, I think it's creepy and gross, but that doesn't make it incest.
OP, I think you should break up with this guy. Incest or not, he's sharing his bed with another girl and she's more important to him than you are. Time to go.
Spammer Spanker