For 2.0.0, Cygwin is completely supported. Separately, an OCaml/flexdll problem means that at the moment it’s 32-bit Cygwin which is supported and not 64-bit Cygwin, but that’s an OCaml issue, not an opam one.
On native Windows (MSVC and mingw-w64), opam builds, but you won’t be able to run opam init - the support needed to use Cygwin to provide Unix tools is presently sat in pull requests which need rebasing for opam 2.1. I shall be working on this post-ICFP this week! In order to prevent an blow-up in the number of compiler variants for Windows, there’re some new features needed in opam which are prototyped, but they had to be cut from the 2.0 release or we’d have never got it out the door! (amongst other things, these same features will make it easier to turn on flambda, etc.)