In this paper, we investigate the performance of an underlay cognitive two-way relay system with direct link using time division broadcast protocol in the presence of primary user's interference. Herein, relying on the practicability and low complexity of statistical channel state information, the secondary transmissions are in compliance with the fading-averaged interference constraints imposed by the primary receiver. For this setup, we study an adaptive link utilization scheme (ALUS) that can exploit both direct and relay links with appropriate diversity combining methods to improve the performance of secondary users. Based on ALUS, we evaluate and compare the performance of two decode-and-forward based relaying strategies viz., fixed relaying and incremental relaying. We derive the tight closed-form expressions of outage probability of the secondary communications for both the strategies over Nakagami- m fading channels. We further conduct asymptotic high signal-to-interference-plus-noise ratio analysis to examine the achievable diversity order of the considered system. In addition, we quantify the expected spectral efficiency and average transmission time for both relaying strategies. Our results illustrate that the incremental relaying strategy can significantly improve the system performance in comparison with fixed relaying. Numerical and simulation results are provided to attest our theoretical studies.