What age are they? Are they using protection? I personally would not be in an incestual relationship, but if they are using protection and at a mature enough age I do not have the right to tell them what to do. I might not approve of said actions, but that does not mean I can force my views on them. If they are not at a mature age, I would have a long talk to them. If they are not using protection I would have a talk to them about the risks the possible child could have. To many unknown variables in your question to give an honest answer.
Specifically Hawaii, Florida, North Dakota, South Dakota, Wisconsin, and Minnesota, California, Oregon, Washington, Alaska, Idaho, Connecticut, Maryland, Delaware, Virginia, West Virginia, Massachusetts, New York, New Hampshire, Maine, Pennsylvania, Vermont, Kansas, Nebraska, Arkansas, Missouri, Oklahoma, Texas, Arizona, New Mexico, Nevada, Colorado, Wyoming, Iowa, Illinois, Indiana, Kentucky, Georgia, Alabama, Mississippi, Louisiana, North Carolina, South Carolina and Tennessee.
But first-cousin can get married and have sex as much as they want in some states.