My mother's brother married my father's sister and I have two entries for them , one as a pair under father's siblings and one under mother's siblings. Do I have to enter my cousins (their children) under both or is there a way that I can connect them?
If You connect two existing persons as a couple together, and these two persons are, like in Your situation, visible now in two 'separate' branches, You can see a red ball with a 2 sign on these, depending on the start of view.
This means only that these visible two persons are in fact one person/one profile. So, if You enter descendants of this couple (Mother's brother & Father's sister) it will be connected correctly, and one time.
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