My cousin has been texting my boyfriend... should I be annoyed?

Long story short: My (ex) boyfriend and I broke up over 2 months ago because I wasn't happy in our relationship. Before I broke up with him, I went away for 2 days and he had told me that during that time he went hung out with a friend, but I saw a text on his phone from my (female) cousin, who I am v. close to, saying 'Thanks for driving me around all day' which I thought was very odd.

I was angry with him about it for lying, which led to an argument, which led to us finally breaking up. He was very hysterical the next week, crying, basically having a tantrum, trying to win me back. In which time he had been calling her and she had been consoling him. He said this was because he had no one else to talk to...

The following week, I was asked out on a date. I agreed to go provisionally, but then I met up with my ex again and thought maybe I could give it another go. I said I would prefer it if he stopped talking to my cousin because I wasn't happy about it and I thought it was really strange, so he agreed, apologised and things were going fine.

A couple of days later, we met up again and things were fine, until he said he'd got an anonymous text saying to not worry about me, as I had 'moved on just fine'. I asked for the number of this person, which he gave me and I rang... turned out the number didn't exist. Then he said one of his friends had told him I had a date, so I called that friend and turns out that was a lie too. Then I realised.. the only person I had told was my cousin.
I confronted my ex about this and he confessed they had still been speaking, and she was relaying everything I told her to him, and apparently telling him her relationship troubles too.

I stopped speaking to both of them after that, and the ex boyfriend went away with his job for a month and in which time I did date someone else, but unfortunately came to the conclusion that I missed the ex boyfriend and when he got back told him everything but said I wanted to start again and take it slow.

He's told me that my cousin has been trying to get hold of him since he's come back but hasn't replied.... I asked to see what she'd said but he had deleted the messages and told me I was being paranoid and over reacting.

Am I... ? So now what do I do? He's lied before to cover her, so I don't know what to believe. Or am I literally just being paranoid? I am so confused!!!