Arjuna married Subhadra. Even Dharmaraja Yudhisthira did not oppose the cousin marriage. Krishna actively supported it.
However, Dharmashastras do not support cousin marriage for North Indians Cross-cousin(mother's sister's daughter) marriage? [Please refer to questions I linked] Why they all went against Dharmashastras?
By the way, this is not a duplicate of this question [https://hinduism.stackexchange.com/questions/14551/arjuna-and-subhadra-marriage]. This question was about the story of the marriage. It has nothing to do with the Dharmic dilemma.