I'm thinking that is does have something to do with you being the only one married. Like, if there were other married cousins' spouses receiving gifts, but not yours, then it's definitely weird!
I wouldn't think too much of it. If you are open enough with your Dad that maybe he could say something along the lines that you would prefer no gift due to there being sooo many people who receive gifts, than that's ok. Otherwise, I wouldn't worry (especially if your DH is anything like mine and would totally not be offended).