You are in a terrible spot and I completely understand you not telling the husband. She is your sister and will always be your sister and you have to have a relationship with her the rest of your life. All you can do is tell her you are disappointed, do no approve and will in no way help her with her lies. (Yes not telling him is being part of the lie but what I mean here is that you are not going to provide alibis for her.)

Having said all that, if she is being that blatant about it its a matter of time before he finds out. Sounds like she is not even trying to hide it.