The worst thing that could happen would be for people around your niece to ignore what she is saying—and discover only after it's too late that she was serious. Perhaps she isn't—but most people who end up taking their lives send out at least some signals in advance.
Whatever else she is doing, your niece is sending out a cry for help. Something is wrong in her life; she knows it, and she hopes someone will take notice and help her. Perhaps she only needs to know that people love her—and you should go out of your way to let her know she is important to you, and you care what happens to her. The Bible tells us to "love one another deeply, from the heart" (1 Peter 1:22).
Perhaps her need is more serious, however, requiring the help of a sympathetic counselor. If so, encourage her parents to get her the help she needs. (Their pastor or doctor may know what resources are available in your community.) Whatever her problem, I hope you and her parents won't ignore it or just hope it will go away. It might—but you can't be sure.
The most important thing you can do, however, is to urge your niece to give her life to Jesus Christ. God loves her, and He has a plan for her future. Life is worth living—both for her and for us all—when we know Christ.