If one has installed CMake for native Windows AND has not installed CMake in Cygwin, Cygwin will try to use the Windows CMake, which will not work properly. The solution is to install CMake in Cygwin to properly use CMake from Cygwin.

Precompiled

Normally, the version available in Cygwin setup/install dialog is new enough. Select from the dropdown menu the version number (sometimes the default CMake version is not the newest available).

Compile yourself

1. install CMake prereqs, from Windows Command Prompt:

   setup-x86_64.exe -P gcc-g++ make ncurses-devel openssl-devel

2. run cmake_setup.sh from Cygwin