I googled and found
this github page. I assume that is what you are using.
I'm not sure what the sdk is supposed to do, but I went ahead and just tried to get that file to run. I have a Debian partition and not Cygwin so any differences may of course be caused by the OS. I had a couple errors from libraries that weren't installed but after I installed them it got started for me. It errored out after ~30s of compiling due something or other. But it spit out a bunch of text.
I would suggest adding an echo to various lines so you can see how far it gets before exiting. That may give you an idea of what is causing the problem. Alternatively you can try setting up a virtual machine or using WSL and see if either gives better results. I haven't messed with Cygwin but I kinda doubt that it is the problem by itself but a fresh start may work if there is some system config that is causing the problem. If you give me a more detailed account of what you did I may be able to be more helpful. I don't know if
@Vogtinator is still around...
Off topic, but why did you choose Cygwin over WSL?