The cursor size is set by the hardware/OS.
As others say, the only way around this is to take over drawing the cursor as part of your game rendering. This means taking control of ALL rendering in your app’s window, so forget about Swing components.
(Actually you can TRY to use Swing components with active rendering by turning their automatic rendering off and manually calling their paint() methods as appropriate but thats a whole lot of work to get right and may never do quite what you want. I’ve had only minimal success doing this myself and with display’s a lot less compelx thne it sounds like yours is.)
Since this sounds like very much a Swing GUI app I’d say either:
(a) Reset cursor size from your OS if it and your hardware allow it (and no I cant tel lyou how to do that you’ll have to go looking through your particular OS’s control panels.)
(b) Give it up as a bad job.