Grand niece.
Great-niece.
your 2nd niece...!
Your daughter and your niece's child are 1st cousins once removed.
My niece's daughter is my great niece.
No he did not. I am one of his grand nieces. He had one daughter.
They are 2nd cousins.
Your niece's daughter is your grand niece, or, as some would say, your great niece.
your 2nd niece...!
Your niece's daughter is your great niece. You are her great aunt or great uncle, depending on your sex.
Your niece is the daughter of your brother or sister. That relationship is not ended by divorce. If your brother married a woman who already had a daughter (from an earlier marriage), then she would be your "step-niece", and this relationship would, technically, be ended by a later divorce.
Some nieces of sisters are related to each other and some are not. Your niece is the daughter of your brother or sister (your siblings). If you have more than two siblings and at least two of them have daughters, those daughters are your nieces and they are first cousins to each other. You can also have a niece who is the daughter of a sibling of your spouse. If two sisters have nieces who are daughters of their spouse's siblings, those nieces are not related to each other (unless the spouses are related to each other, as when two brothers marry two sisters)
It does not appear that Thomas Jefferson had any nieces or nephews. He had a daughter, a son in law and two grandsons. He also had an aunt and a first cousin.