For instance, Russia's last empress, born Princess Alix of Hesse-Darmstadt, had a much older sister (Elisabeth) who was married to the Grand Duke Sergei Alexandrovich -- uncle of Czar Nicholas II. So the result was that you had a pair of sisters where the older one was an aunt by marriage, as well as a sister-in-law, to the husband of the younger one.
Princess Alexandra of Greece and Denmark (eldest daughter of King George I and his queen consort, born Grand Duchess Olga Constantinovna of Russia), married her first cousin, once removed, the Grand Duke Paul Alexandrovich of Russia. Although she was technically a second cousin to Queen Marie of Romania (a granddaughter of Queen Victoria of Great Britain and Czar Alexander II of Russia), meaning a member of the same generation (and who wasn't that much older than herself) she was referred to in the latter's memoirs as "aunt", since that's what she was by marriage.
And Queen Louise of Sweden, consort of King Gustaf VI Adolf, became a stepmother to his five children, who were by blood her second cousins.
The list of "bizarre" family scenarios would undoubtedly be legion, especially if one were to include step relations into the picture. That being said, I'd be interested if anybody could provide me with relatively recent examples in European royal history of such occurrences.
Of course, it's difficult to qualify these things, since it's not easy to define *bizarre*. We have seen how Queen Mary of Great Britain, consort of King George V, was a second cousin of her father-in-law, King Edward VII. Similarly, Queen Anne of Romania was a second cousin of her mother-in-law, Queen Helen. But these situations are nothing compared to having older nieces and nephews.
Still, it's interesting to consider situations where a relative belonged to two generations from one's standpoint, depending on the connection. What are other examples?