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I'm fairly new to the game and how it works and haven't been in a situation like this before so maybe don't take my advice too literally.
To me, rejecting her invite to the comedy club sounds like the final rejection, and saying I wanted to chill with just you makes you sound a bit needy of her - "If I can't have you I don't want anyone!..."
I would go, making it look like I'm going for the night rather than because she asked you to. Check out the comedy acts before, find one you might like and keep saying ''can't wait for this guy, he's pretty funny". Make sure you pretend to get a bit excited about her cousen by saying "Looking forward to meeting your cousen, did she get the funny/good-looking/fun genes in the family?" Or something lighthearted maybe. Then when you're there, make friends with the guy and appear to get on really well with the cousen whilst paying little attention to the target.
The hope is she will find it hard that you don't see that bloke as a target (portrays alpha male confidence - she already told you she doesn't like him so he is no threat!). This way she will not see you as needy for her. Also, by getting along with them both, particularly her cousin, she will more than likely start to really question you and whether she should get in whilst she still can, and in my experience girls get the most jealous when it's a family member you're getting with (or appear to). Remember girls like this share everything, so you're more than likely going to be the BIG talking point of the night if you play your cards right.
If all fails and she likes the bloke instead, then at least you tried. It sounds to me like the thing is slipping away from you and you sound like you're being hard on yourself asking yourself so many questions.
Good luck!
Thanks for the advice my friend. And now that I think about it, me saying "I don't want to chill with your cousin, I want you" does sound needy to me. I ended up not going because I thought the she would get too much attention (Me & the other guy). But now that I read your post I should have went. I just felt if vibe isn't right it would have a domino effect. Your right Im being too hard on myself. I need to relax. Ill keep y'all posted.