Cersei tells Jaime they're the last of the Lannisters who count. Dumb question: Any nieces/nephews? You know, Joffrey/Tommen/Myrcella have any cousins or something?
Does Joffrey have any cousins? A first cousin? No, he had one, the lady Shireen Baratheon who died. Second and third cousins? Yes he does from his maternal side but they are not discussed extensively in the show. Does Cersei have extended relations? Not that we know of from the Show.
they're the last of the Lannisters who count
Notice the Words who count. Those who count are the senior line of House Lannister i.e. the Line of Tytos Lannister. Of those, only Jaime and Cersei are alive (Tyrion is too but of course as per Cersei, he doesn't count). That doesn't mean they are literally the last of the thousands of year old Lannister dynasty.
Cersei indeed has distant cousins in the senior line, the descendants of Ser Jason Lannister. There is also a cadet dynasty, the Lannisters of Lannisport.
Most of those are not discussed in the show that I know of except Willem and Martyn Lannister, both of whom are dead. There's also Lancel Lannister, who is dead as well. All three were sons of Kevan Lannister, Cersei's uncle. Line of Jason Lannister and Genna Lannister is not mentioned in the show. There was also that show-only cousin, Orson Lannister, who as per Jaime and Tyrion loved to Crush bugs but he is dead as well. Ser Stafford Lannister and his death were also mentioned in season 2, another one of Cersei's uncles.
As for her kids having cousins, of course they did. There was Shireen on Baratheon side, who is dead. None on the Lannister side as Jaime and Tyrion never married. There are second cousins of sorts who are listed in the linked answer but from book POV.
The full extended Lannister family as described in the books
You can learn about the extended Lannister family of Casterly Rock here if you are interested, from books POV of course. I could rehash it here but there is no point as I have already written all that there - but these family trees from that answer might give you an overview (If you feel confused by these trees, refer to the linked answer for clarification):