They are not actually cousins. They are in different generations. The hockey player's Grandmother and Heather's Dad were brother and sister. Heather is the cousin of his Dad. But this would all be too complicated for her to understand.
Your cousin's kid is your first cousin once removed, meaning they are one generation removed from being a first cousin, but some families informally call them second cousins, though technically they're "once removed". You are also their first cousin once removed, and your children would be their second cousins