We always say they are our neices or nephews.

DH is an only child, and he considers my brother to be his brother, so my brothers children are his neices and nephews.
When we found out my brother's partner was having a baby, DH was absolutely stoked that he was going to be an uncle, and when she was born he was just as over the moon as I was, and when she passed he grieved for his neice.

But to answer your question, I dunno. I suppose that technically they are his neices but I dunno