SS, as most of my maternal family is Southern Baptist, I understand your fears and concerns. This is a very difficult time in which we live, especially with Catholics not understanding the danger to their soul from marrying Protestants.
This morning in my readings I came across the reminder to trust St. Joseph. He is the Protector of the Church. Instead of being afraid, he kept Our Most Blessed Mother and Our Precious Lord under his watchful and loving eye.
I have a special devotion to St. Joseph. He has never failed my families prayers--and some of those prayers have seemed almost impossible!
Also say many, many Rosaries! Baptists HATE Our Most Beloved and Beautiful Mother! Since NO Catholics don't particularly pray the Rosary regularly (and your family might, I don't know), Protestants are not usually intimidated. But when you start praying the Rosary, they will scatter. Trust me.
Maybe you can offer to get together with your cousin and her "fiancee" to pray the Rosary together?
I wish you peace and blessings during this time.