What is it called when a sister marries her brother?

A sibling-in-law is the spouse of your sibling, or the sibling of your spouse, or the person who is married to the sibling of your spouse. More commonly a sibling-in-law is referred to as a brother-in-law for a male sibling-in-law, and a sister-in-law for a female one.

Is it weird for a pair of siblings to marry another pair of siblings?

A double cousinship occurs only when a set of siblings marries another set of siblings and both have children. This could be two sisters marrying two brothers. In your case, this is a brother and sister marrying a sister and brother. Double cousins actually share the same gene pool as siblings.