From the Quran we can know which relations are forbidden to be married:
Prohibited to you [for marriage] are your mothers, your daughters,
your sisters, your father's sisters, your mother's sisters, your
brother's daughters, your sister's daughters, your [milk] mothers who
nursed you, your sisters through nursing, your wives' mothers, and
your step-daughters under your guardianship [born] of your wives unto
whom you have gone in. But if you have not gone in unto them, there is
no sin upon you. And [also prohibited are] the wives of your sons who
are from your [own] loins, and that you take [in marriage] two sisters
simultaneously, except for what has already occurred. Indeed, Allah is
ever Forgiving and Merciful. 4:23
And [also prohibited to you are all] married women except those your
right hands possess. [This is] the decree of Allah upon you. And
lawful to you are [all others] beyond these, [provided] that you seek
them [in marriage] with [gifts from] your property, desiring chastity,
not unlawful sexual intercourse. So for whatever you enjoy [of
marriage] from them, give them their due compensation as an
obligation. And there is no blame upon you for what you mutually agree
to beyond the obligation. Indeed, Allah is ever Knowing and Wise. 4:24
Assuming that the conditions of the nikah were fulfilled (mahar paid, free will, witnesses, read by a muslim, not done in secret) this nikah is valid.
As to the question of "what they should do"; this is a question between the husband and wife (the couple that had the nikah). From Islamic standpoint the marriage is valid.