So I thought I had finally got everything setup on Windows ... then ran into this issue.
Current setup
URL: ssh://user@host:port/myapp.git
Check the openssh version you're using in CygWin. Version 5.5p1-1 (which is the latest at this time) gave me the same error. Downgrading to 5.4p1-1 fixed the problem.
Another solution would be to use putty/plink instead of openssh.
For more details, see this thread: http://www.mail-archive.com/cygwin@cygwin.com/msg103752.html