It's legal like everyone said, but to me it would be how you were brought up.
For example, my OH's cousins are more like his siblings. They all went on family holidays together, whole family meets up at least once a month. If he were to start a relationship with his cousin, it would be weird to me.
However, I could walk past my cousin in the street and not know who they were (my dad left his country when he was young and never had any contact with them, I didn't even now who to contact when he died). If I was the to start a relationship and it turned out he was my cousin, to be that would be ok.
Does that make sense?