I have no problems compiling the library on mingw with g++, on cygwin however, it goes to cl. Is there a way to compile it with g++ on cygwin or are there problems in doing so?
cl.exe is being selected for CYGWIN by makefiles. Most likely there should not be a issue in using g++, but you would have to play around with the makefiles, to make it work.
Anyways can you tell your motive for being interested in using cygwin when mingw is working fine for you?