Why not hide the mouse with
Mouse.setGrabbed(true), and then create a cursor texture, render it and make it follow the position of the mouse with
Mouse.getX() and
Mouse.getY() . Hope that helped!

As far as I know, this does only help a little bit, since the Mouse.getX() returns negative values very soon, if you move the mouse to the left. So if you'd draw a cursor directly at the Mouse.getX() position, it would be drawn outside the window.
What could possibly work is:
Set mouse to grabbed,
If the mouse is outside the window on the left, set the x position to the leftmost position,
If the mouse is outside the window on the top, set the y position to the topmost position,
If the mouse is outside the window on the right, set the x position to the rightmost position,
If the mouse is outside the window on the bottom, set the y position to the bottommost position,
Render mouse.