Hi M.!
Most every parent has to deal with this situation at one time or another. So, please don't think your son is the only boy who cussed at 2! :o)
BUT, from my end of your story, it almost sounds like Grandma Daycare is a little too laxed, and not neccessarily "watching" things closely. She is probably comfortable with all the kids together, as she makes lunch or whatever. The older one's are probably getting your son to say this bad word, and laughing everytime he does...which of course takes it's turn on you in order to make YOU laugh.
The cousin's may not be in trouble for this in their home, and you have no control over that. BUT, you can help YOUR son learn his manners, regardless of his cousins behavior. This sounds like a life-long lesson you will begin teaching him. That he should NOT be influenced by his cousins. Now or ever. Sounds like you may have to watch that.
I would let Grandma in on the little "game". She may not be aware of it, yet. Simply ask her to please listen closer, as the other boys are teaching your son bad language, and you won't have it. She will either be shocked about it, or know about it. If she knows about it, and doesn't know how to handle it (she IS a Grandma, and only wants to love her grandchildren), then you may sadly need to re-think your son's daycare situation. It depends on how serious it is, really.
Start there, M., you sound like a smart, loving mother who definitely knows best for her children :o) I believe you will handle it just fine.
:o) N.