This happened to me when I was about 6 maybe, I can't remember if I picked up sex from a friend or if my little best friend picked it up from one of her friends, but we used to play Barbies and they used to have a sex room where two barbies could go and have sex. I remember my friends mum finding out somehow, I think she asked us what the barbies were doing, and looking back I think she handled it well. She asked us what we thought sex was and why we thought our barbies wanted to have sex, and when we couldn't really answer she said that maybe if our barbies wanted to have sex they would only want to do it in private not while we were there. And it worked, we never played Barbie sex room again!

Maybe because you're coming in after the fact, not finding them playing like my friends mum, you could ask her to show you the game her cousin taught her? Might be easier to talk to her about it without seeming interrogating maybe ? I have no experience with this as an adult, only as a kid! Hope you figure it out