You are not really giving us all the information we need, ages, is the nieces parent around, so I will do the best with what little information was given. do you live with your niece? When you say our room, does that mean his room?
Your son is being bullied by an older child, you need to talk to her mother and advise her that she needs to teach her child to be nice, to share, no hitting, say please. Your niece may be an only child and used to getting her way so if mom is not around it is your responsibility to correct her. If she is two or more she can do a short time out in a room or in a chair. You may need to look for another place to live if her mother is unwilling to see her child as a bully. Make sure that your son is also playing fair, is he taking all of her toys, does he have toys of his own? Might be best to just read a book in your room and let your child play sometimes alone especially if your niece is being a bully and her mom is doing nothing about it.
since I don't know your sons age I am going to assume he is about 1 or 2. All children have fears, if he hasn't learned to talk it is very hard for him to tell you what is wrong. However, you can teach him some sign language along with the word to help him tell you what the issue is until he can learn to speak, there are books out there called baby sign language which are very simple for a baby to learn.
You need to sit down with your family and discuss the issues at hand. Ask how they want you to handle their child when she is being rude or mean to you or your child. Advise them how they can do the same with your child. If they are not willing to help with the issue, you need to either move out or limit the contact between the two children. That means, if you have to sit in your room with the door closed for hours reading a book to your kid or staring at a wall so he can play then that is what you need to do until you can move out. Best of luck to you and your son.