FEDERAL means country wide. Your cousin is misinformed.
I had an argument with a young man in one of my college classes. He tried to claim that you must have a state issued permit to buy a handgun in Mississippi. Of course, it was his "friend who's been a cop for twenty years" who told him. I invited him, after being unable to convince him, to come with me to the law library (every library in the state that receives even a penny of state funding gets a complete state law collection), or to come with me to a local dealer and investigate the matter. He refused to be swayed. Some people can't be helped.
I think your cousin is just confused though.