May I ask what your background is? Race, religion, location? I know of only a few cultures or religions that practice intermarriage and arranged marriages so I'm curious to know more about you.
I believe that it is very dangerous for you to have children with your niece. The two of you share at least 12.5% of your genes, the same amount of genes that half brothers and sisters share. When you add the fact that your mother and father are related, that raises the number of genes you and your niece share, which means you are much more likely to have children with diseases.
To put it another way: if you have a gene that causes purple spots and you marry a relative, chances are that they also carry the gene for purple spots. So, your children will probably have purple spots. If you marry outside of your family, chances are very slim that your wife will also have the gene for a disease that causes purple spots.
I'm very surprised that you don't have any diseases that run in your family since they have been intermarrying for so many years. Be strong and stand up for what you think is right.