There's this girl who's in a relationship. I have a thing with her.
Why do you mean by a "thing"?
We talk a lot and we became really good friends
That seems okay. As long as it's just a friendship, it's cool to hang out with someone who is in a relationship.
We don't do anything that can be considered cheating. We're just both happy to be together.
Then there's nothing wrong with that. Having a platonic relationship with someone that makes you both happy without violating boundaries is a benefit to everyone involved. There are no rules that say you can't be friends.