big news? where?
She isn't your sister. Its kind of an odd situation, but not a big deal.
If your dad see's it as such then he may want to take a step back and look at the situation from a different angle. The only reason it seems odd is because of the knowledge that your gf is your dad's gf's daughter. If this was an unknown, it would be just another relationship.
There are however, two things to take into account.
One is your age. If you are still in school, grade 12 or under, this relationship your in will most likely end at some point. Most HS relationships end.
Two is possible marriage. If your dad marry's his gf, which he has every right to, then your gf becomes your step sister. I do not know if there are any legal ramifications for this, but there is a certain taboo, even though she is not related by blood.
To answer your question, just tell him. Or don't. Meaning, unless you see your relationship with this girl going into a life long deal with marriage and all that, there is no real reason to tell him. But that is up to you. I would though, just to get it in the open and have one less thing on my shoulders.