The PDB2PQR code itself is written in OS-independent Python, and thus will work with Python under Cygwin. Unfortunately PROPKA makes use of compilers and shared objects, which can be rather tricky through Cygwin. For basic functionality under Windows, it is strongly recommended to use PDB2PQR without PROPKA enabled; if you would like to try to get PROPKA working as well, you might want to look at section 6.2.2 of the Building Extensions in the Python Tutorial.