When someone steadfastly refuses to listen to wise advice, there may be little we can do -- humanly speaking -- to help them. They may simply be stubborn, or too proud to admit they're wrong -- or they may sincerely think they're right and we're wrong. Whatever the reason, they refuse to heed our warnings.
What can you do? First, let your niece know you love her and care about her -- even if she doesn't accept your advice. If your analysis of her situation is correct, eventually this relationship will end -- perhaps painfully -- and she'll need your friendship. You might offer to take her out to lunch and listen to her side of the story, not arguing but gently expressing your concern and letting her know you care. The Bible reminds us that there is "a time to be silent and a time to speak" (Ecclesiastes 3:7).
Then pray for her. God can do what we can't do, and He can change even the most stubborn heart. Pray, too, that your niece will come to see not only the wrongness of what she's done, but will also face her need for God's forgiveness and guidance. Pray, too, for wisdom as you interact with her.
Finally, don't give up on her. Even if your niece rebuffs you right now, your life is an example of how she should be living. She needs Christ, and God can use you to point her to His forgiveness and love.