I just wanted to throw in to the people who said that this is not a case of sexual harassment, this absolutely IS. As a woman in a professional setting of mostly men, I can tell you my office does a lot to clarify what is/isn't sexual harassment, we JUST had a meeting on it last week.
These people were in the workplace and were caught having sex by another employee. This is sexual harassment of the person who caught them, in this case the OPs cousin. Anything, absolutely anything, of that nature is sexual harassment from a legal standpoint. Two employees slapping each other, touching, or making sexual comments to each other within reasonable vicinity of others is sexually harassing anyone who can hear them. Having sex in your office, whether the door is locked or closed, whether they are consenting adults, is absolutely sexual harassment of the person who walks in. It can make him or her very uncomfortable, upset, offended, angry, and most importantly it can compromise that person's work environment and his or her ability to do a good job. In the literature from my company's lawfirm this type of incident is classified as 'one time qualifying' meaning an employee only has to experience this happening ONCE to be credible to a lawfirm and sue. This also means my company would very likely fire anyone who engaged in this type of behavior immediately because they would be a huge legal liability, and frankly not the type of person they would want in a position of authority or representing our products.
No wonder this couple is afraid of the cousin snitching, they would be in HUGE trouble whether or not the company has a policy for employee dating. I'm not saying he should tell on them, but I just wanted to give you some solid facts that my company uses to evaluate situations like this one. It's really unfortunate this happened to your cousin because now he either has to ruin two other peoples jobs, reputations, and possible relationships, wait and hope that they don't can him, or get himself the hell out of there and leave his job. But the fact is his supervisors should have thought of that before they did what they did and put him in this terrible position. Anyway, I'm not saying he should tell or not, I just wanted to say, as someone in the corporate world, that this is something your cousin can control if he's fearing the loss of his job because he caught them. If not, it's probably ok to let it go.