I Had Sex With Niece! How Do I Tell My Brother?

I am 29 years old and my niece is 18 so basically we are around the same age.
My older brother’s wife recently died of breast cancer so my niece had recently move in with me. She was still depressed about her mother she couldn't take living in the house her mother died in because of too many memories. My brother thought it would be a nice gesture for her to move in with me.
We bonded. For we had chemistry together she would tell me about her problems and I will tell her about mine. I know it sounds sick but we felt like a married couple. My brother will check up on her often see how' she's doing and everything.
One night I came home and found my niece lying on the floor crying holding a picture of her mother. I
comforted her, she was in a mess. We went into the bedroom one thing led to another, we had sex.
We just started having sex every chance we get. I know it’s wrong, but I feel like we really connected. She's everything to me and I never felt anything like this before. I feel like a new man I had girlfriends before but I never felt like this before. I was really in love with my niece and she has turned into a beautiful woman just like her mother.
This all happened about a month ago. She still lives with me, but now I feel guilty doing this to my brother. I mean I look up to him, he's my oldest brother and now my niece and I are having sex behind his back. I am worried she might be pregnant because yesterday I caught her vomiting in the toilet. She said she felt sick. She's doing better now, but I am afraid if we go to the doctors we will get bad news.
What should I do? Should I tell my brother? Please, Help!