They usually appear in a collection of three or four short stories by different authors that are supposed to make you want to try their series. It was reprinted in the anthology of 'between books' stories called Touch of Dead. It's not a particularly good story so I wouldn't go out of my way to read it. I did like a couple of the others in the Touch of Dead collection (particularly the one about the fairy triplets).

The salient points of the cousin story I'm sure you've already figured out for yourself but I'll summarize anyway.

1. Sookie's cousin was a runaway that was turned to a vamp.
2. She became a favorite of the Queen who was also a runaway at one point in time.
3. The former favorite of the Queen was jealous and had Sookie's cousin killed.
4. The Queen came to talk to Sookie and brought the murderer with her.
5. The Queen let Sookie figure out for herself who the murderer was without letting on that she knew the truth all along.
6. She offered for Sookie to avenge her cousin by killing the responsible party.
7. Sookie said no, she couldn't do it.
8. The Queen had no such qualms about death.

This was at least a hundred books ago, but I think that is fairly accurate.