I need help with my cousin's bullying.?

I have a twelve year old cousin being bullied. I know you think he's my cousin, so we're not so close but my other cousin and I who we'll call J have been his idols since forever see him on a daily basis and he's more like a sibling than my real siblings. He's being called tall and thin and pale and gay because he's really talented with music, just like me and my other cousin were. The difference is, J and I were always with the cool crowd in school and didn't act as awkward about it as he does. His parents are really over protective too. They went to the school, who confronted kids about it and only made it worse. Then they tried counseling and this counselor has my little cousin write cheesy books that honestly, if I wasn't his cousin i'd want to bully him to for writing this stuff. The counseling isn't helping and he sees it's stupid too. But we're not his parents and don't want to tell them to change counselors or how to raise their kid, but we want to help. I'm 17 and in the military and one of these days instead of stopping by home before picking him up from school I really just want to show up in uniform in front of all those kids and make it obvious that I'm his big cousin and just say something jokingly like "Wow, I'm glad you're all so nice to him and get along so well." or idk, something like that. J & I can't even talk to the kid anymore because he's so clinically depressed that the two of us, who were his heroes try to take him out for ice cream and simply put, he doesn't care about anything anymore. He would have done backflips for something like that a year ago. And his naive parents think it will get better in middle school. I told you they're a bunch of idiots. I just don't know what to do.