Excerpt from the Cygwin licence <http://cygwin.com/license.html>:

Cygwin™ Open Source Licensing Exception

As a special exception to GPLv3+, Red Hat grants you permission to
link software whose sources are distributed under a license that
satisfies the Open Source Definition with libcygwin.a, without
libcygwin.a itself causing the resulting program to be covered by
GPLv3+.

This means that you can port an Open Source application to Cygwin™,
and distribute that executable as if it didn't include a copy of
libcygwin.a linked into it. Note that this does not apply to the
Cygwin™ DLL itself. If you distribute a (possibly modified) version of
the Cygwin™ DLL, you must adhere to the terms of the GPLv3+, including
the requirement to provide sources for the Cygwin™ DLL, unless you
have obtained a special Cygwin™ license to distribute the Cygwin™ DLL
in only its binary form (see below).

See http://www.opensource.org/docs/osd/ for the precise Open Source
Definition referenced above.
