I had that same issue just recently and how I went about it is to create two sprites for the cursor. One is small and I think the cursor is 32x32 so I set my sprite to that.
Then I created the same sprite but larger and I had the game scaled by 3 so I think I had the larger sprite at 96x96.
Then when you use an even that changes the scale also change the cursor sprite either up or down and it will look right on the screen.