The cousin is scum, there’s no question, but the OP is a part of his family.
Who are all colluding, including the OP's DH. I'd be thinking hard about how much longer I wanted to be part of that family.
I absolutely do not want to destroy her world
She suspects already so it's hardly a bolt from the blue. It's just confirmation that her husband is planning to destroy her world so she can take steps to protect herself.
I can't face the fall out
What fall out are you expecting?
I am not afraid if Dh's family,
But you are afraid of the fall out, so if it's not from DH's family then who is it from? Is it from DH himself? Or is the real fall out the realisation that you don't have such a "lovely" marriage and friends after all, but they're people who would willingly throw another woman like yourself under the bus without a second thought?
He thinks ... we should go 'to show respect'.
What is there to show respect to in all this? Respect to a family who don't think an English wife or a childless wife is a proper wife? Or respect to a man who hasn't told his family his first wife exists, or maybe hasn't married her legally? What else might your husband want you to "respect"?
'it is just a party'
Was your wedding "just a party" as well?
We know his wife here, go to see them all the time.
And now your husband wants you to collude in abusing and disrespecting his relative's wife. Your husband is not bothered if the first wife knows about it or not. The relative matters to your husband, the wife just doesn't. There is going to be a lot of fallout if you try to challenge that. It calls into question the basis of your own marriage.