Thomas Cockshutt and Martha Cockshutt were step-siblings of Joseph Hall, whose mother Ann was married to Rev. Thomas Cockshutt before marrying Joseph Hall's father. As step-siblings, they were not Ann's children, and thus, were children of an earlier marriage of their father.
Note that Elizabeth and Ann Cockshutt may have also been children of this marriage - they are identified as stepsisters or half sisters of Joseph Hall.