That makes a lot of sense! The distinction between sibling and nth cousin is basically arbitrary. (Although obviously there is logic in making the distinction as well as in omitting it.)
brother b1 and sister s1 from family 1, with parents g1
brother b2 and sister s2 from family 2, with parents g2
s1 has child x with b2 - x has grandparents g1, g2
s2 has child y with b1 - y has grandparents g1, g2
x and y are cousins, and also share the same 2 pairs of grandparents :-)If instead of two brothers marrying two sisters, you have two brothers marrying two first cousins, like so...
b1 and b2 are brothers
c1 and c2 are first cousins
b1 and c1 marry and have child x
b2 and c2 marry and have child y
... then x and y are both first and second cousins (and their children are second + third cousins, etc).