Here is the relevant text from Josephus (Antiquities of the Jews, Book 20, ch. 2):
"About this time it was that Helena, queen of Adiabene, and her son Izates, changed their course of life, and embraced the Jewish customs, and this on the occasion following: Monobazus, the king of Adiabene, who had also the name of Bazeus, fell in love with his sister Helena, and took her to be his wife, and begat her with child...and when his son was born, he called him Izates. He had indeed Monobazus, his elder brother, by Helena also, as he had other sons by other wives besides. Yet did he openly place all his affections on this his only begotten son Izates...However, he sent Izates, with many presents, to Abennerig, the king of Charax- Spasini, and that out of the great dread he was in about him, lest he should come to some misfortune by the hatred his brethren bore him; and he committed his son's preservation to him. Upon which Abennerig gladly received the young man, and had a great affection for him, and married him to his own daughter, whose name was Samacha: he also bestowed a country upon him, from which he received large revenues.
But when Monobazus was grown old, and saw that he had but a little time to live, he had a mind to come to the sight of his son before he died. So he sent for him, and embraced him after the most affectionate manner, and bestowed on him the country called Carra...Accordingly, Izates abode in that country until his father's death... So queen Helena complied with this counsel of theirs, and set up Monobazus, the eldest son, to be king, and put the diadem upon his head, and gave him his father's ring, with its signet; as also the ornament which they call Sampser, and exhorted him to administer the affairs of the kingdom till his brother should come; who came suddenly upon hearing that his father was dead, and succeeded his brother Monobazus, who resigned up the government to him.
Now, during the time Izates abode at Charax-Spasini, a certain Jewish merchant, whose name was Ananias, got among the women that belonged to the king, and taught them to worship God according to the Jewish religion. He, moreover, by their means, became known to Izates, and persuaded him, in like manner, to embrace that religion; he also, at the earnest entreaty of Izates, accompanied him when he was sent for by his father to come to Adiabene; it also happened that Helena, about the same time, was instructed by a certain other Jew and went over to them. But when Izates had taken the kingdom, and was come to Adiabene...
And when he perceived that his mother was highly pleased with the Jewish customs, he made haste to change, and to embrace them entirely; and as he supposed that he could not be thoroughly a Jew unless he were circumcised, he was ready to have it done. But when his mother understood what he was about, she endeavored to hinder him from doing it, and said to him that this thing would bring him into danger; and that, as he was a king, he would thereby bring himself into great odium among his subjects, when they should understand that he was so fond of rites that were to them strange and foreign; and that they would never bear to be ruled over by a Jew..."
From here we see that, at least according to Josephus, the final conversion of Heleni and her son Izates (and later Munbaz II joined them) seems to have taken place only after the death of Munbaz I, Heleni's brother and husband.
However, the question may still stand based on the phrasing Josephus uses when describing Heleni's conversion process: "it also happened that Helena, about the same time, was instructed by a certain other Jew and went over to them" - from here it sounds that Heleni converted prior to the death of her husband, while Izates converted only after becoming king, after his father died.
Ben Tzion Luria wrote an essay in Hebrew called "The Kingdom of Khadayev". In it he examines both Josephus, the Tanach and Chazalic sources to understand the build of both the kingdom and its Jewish community:
"There's no doubt that the main influence on the development of the spiritual character of Izates came to him during the years he settled in Meishan. It was not the meeting with the Jewish merchant Chananyah through the women of the court, completely detached from the rest of the world - as was a must in the governing of the harem in the ancient eastern country - that brought the young prince to think differently than his forefathers thought about issues of religion and society. Most assuredly Izates met with many Jews in the city of Spasinos and the settlements of Meishan, came to know their way of life and found that their way and way of thought on life and faith in it was born and raised...
Meishan was a land of swamps...her citizens were Arabs...from Rav Huna...we have a halacha that relates to the Jews of Meishan:
"Rav Huna said: With regard to those small boats of Meishan, which are wide on top and narrow at the bottom, one may carry in them only within four cubits. Because they are less than four handbreadths wide at the bottom, they are not a private domain. And we only said this halakha in a case where the width of the boat does not reach four handbreadths less than three handbreadths from the bottom of the boat. However, if the width of the boat reaches four handbreadths less than three handbreadths from the bottom, we do not have this halakha, as those are considered full-fledged partitions which create a private domain. And, similarly, if one fills the bottom of the boat with reeds and thin willow branches up to the point where the boat reaches four handbreadths, we do not have this halakha. If there are ten handbreadths above the point where the boat reaches four handbreadths, it is a private domain." (Shabbat 101a)...
If the sages of the generation saw fit to make a special halacha with regards to the boats of Meishan, that means that those boats were part of the day to day lives of the Jewish community members...we would not be wrong in assuming that the Jews for whom this halacha was made were long time residents in that place, and perhaps even came here before the beginning of the first century, they came before Izates when he came to be educated in the city of Spasinos...
We have already said that in the second generation of Amoraim, Meishan was shamed for not properly keeping the halacha of familial and racial purity and it seems that in many cases the Jews of the city of Spasinos wed women of the land. On this fault Chazal speak about a number of times:
"The Gemara asks: How far does the border extend downward, meaning southward, on the Tigris? Rav Shmuel said: Until the city of Lower Appamya. The Gemara comments: There are two cities called Appamya, the upper one and the lower one. In terms of the lineage of their residents, one is unflawed and the other is flawed, and they are separated by a distance of a parasang [parsa]. And they are particular with regard to one another. The residents of the two cities avoid each other to the extent that they do not even loan each other fire, to prevent them from developing a closeness with each other. And your mnemonic to remember which is which is that the unfit one is that one that speaks the Mishon dialect. As stated above, Mishon is considered dead with regard to lineage." (Kiddushin 71b)
And on the fury of Chazal towards Meishan:
"Ten kav of brazenness descended to the world; Meishan, near Babylonia, took nine and the rest of the world took one." (Kiddushin 49b)...
In the eyes of the sages of Bavel, all the marriages of the Jews of Meishan with the gentile women were invalid and causing impurity in the Jewish race, and their reasoning was with them. But it would be different if we would look at the issue from the perspective of the role of the woman from Meishan, daughter of an Arab tribe who stood in a low developmental state in terms of culture and society. With comparison to the advanced Hellenistic world of the time, for such a woman to marry a Jew was to be a social advancement, for it is known that the Jewish familial life was quiet and fair and the role of the woman prominent and this always drew the hearts of the gentile women, so it would not surprise us therefore that Judaism spread through Meishan first among the women..."
Luria then provides evidence that the kingdom Izates first received was the city of Charan. There may have not necessarily been Jews in Charan at the time, but certainly in the nearby Netzivin, which had an important beit midrash headed by Rabbi Yehudah ben Bateirah.
Then Luria writes:
"And now that we know the circumference of the country of Khadayev in the time of Munbaz I, we are permitted to assume that Judaism penetrated into the royal court not by Chanayah the merchant and Izates his student, and not by Elazar, the sage from the Galilee. It is simple to see that conversion became a general phenomenon, based on the influence of the many Jews that lived in the country.
According to what is told in the Talmud, the two brothers Munbaz and Izates...each circumcised without his brother knowing about it and the Queen also converted separately. Between the lines of what Josephus wrote we can learn that the entire nation was divided into two: The Royal Family, the people of the court and many of the nation became Jewish, but the idolatrous priests and masses of the people, in particular in areas where the Jewish influence was weak, remained strong in their old faith. At first, the group of converts was weak and therefore didn't make themselves and their actions known, this moderation was led by Chananyah...later...the King and the converts overcame the idolatrous group.
Josephus wrote (Antiquities of the Jews, Book 3, ch. 15):
"There are also many other demonstrations that his power was more than human, for still some there have been, who have come from the parts beyond Euphrates, a journey of four months, through many dangers, and at great expenses, in honor of our temple; and yet, when they had offered their oblations, could not partake of their own sacrifices, because Moses had forbidden it, by somewhat in the law that did not permit them, or somewhat that had befallen them, which our ancient customs made inconsistent therewith; some of these did not sacrifice at all, and others left their sacrifices in an imperfect condition; many were not able, even at first, so much as to enter the temple, but went their ways in this as preferring a submission to the laws of Moses before the fulfilling of their own inclinations, they had no fear upon them that anybody could convict them, but only out of a reverence to their own conscience."
On this Luria writes:
"There is no doubt that what is referred to here are converts from Khadayev, who came to Yerushalayim and requested to sacrifice their sacrifices. But they did not follow the law and for this they were unable to do so."
From all of this, it seems that the Jews of Khadayev, and in particular, the converts of Khadayev, were not very knowledgeable in Judaism, and in particular in terms of familial and racial purity, much like the Jews of Meishan. Therefore, it's actually quite likely that Heleni was not aware of all of the d'rabanan laws while living in Khadayev during the lifetime of her husband. Only later, long after her conversion and the death of her husband, did she come to one of the great centers of halacha, Yerushalayim, and learn all she had missed out on. By that time, it seems that her status as the wife of her brother was no longer relevant.
