This man keeps on calling me saying that he's my cousin but I don't have any siblings in order to have cousins, he last time told me he was a cousin and that he was coming from New Jersey and he got in a "car accident" and that he needed some money since he was my relative and he was in need and he had no insurance.

A cousin is usually the child of one of your parents siblings, not your immediate siblings.  If you had siblings, their children would be your nieces and nephews.  Tell him to go fly a kite!