I stumbled upon this cool Cygwin option that allows you to use native Windows (NTFS) symlinks (like CreateSymbolicLinkW in the
Win32 API, or mklink via cmd shell). Apparently there's a CYGWIN
environment variable that "is used to configure many global settings for
the Cygwin runtime system".
One of those options is winsymlinks:{lnk,native,nativestrict}.
if set to just
winsymlinksorwinsymlinks:lnk, Cygwin creates symlinks as Windows shortcuts with a special header and the R/O