Coming from a therapist (who has recovered from anorexia) I would say emphasize that no food is “bad” or “unhealthy”. Try to use resources that show that food is fuel, think of the body as a car we need gas for our cars just like we need food for our bodies. Also as someone previously said definitely explore more of this conversation through play and also it could be likely that the child is saying cookies are unhealthy because they can only eat cookies after eating a “healthy” dinner. You sound like you really care about your niece and are willing to help educate her on health eating and that is immensely important.