well, the literal translation of “thieves in law” is
воры в законе , pronounced something like “Vorey V Zakonye”
My Russian is rusty and the “in-law” (related to your spouse) concept is something I can’t translate, but, in the words of Inigo Montoya “I do not that that means what [he] thinks it means”
not as wrong as you might think. The “V Zakonye” part would be pronounced as though it were one word, so I can see how it might sound like “visa conye”. Now, depending on your cousin’s accent (assuming your cousin actually speaks Russian and isn’t just repeating something he heard), the “ye” ending could be swallowed to the point that you barely hear it (it’s a way of verbally “cheating” on the grammar) and “Visa cone” or “Visa cohen” could be what it sounds like.
I think you’re referring to the “Vory v Zakone,” the “Thieves in Law” of Russia’s organized crime. They’re sort of equivalent to “made men” in the Sicilian Mafia.
Now that would make sense. With the hyphens, the only thing I could imagine the OP was referring to was relatives who borrow money and never pay it back.