I've tried variations of this, but had no luck other than the ability to start a cygwin window. (wrapped on ; for clarity)
Filename: "c:\cygwin\bin\bash.exe";
Parameters: "-c c:/scripts/step1.sh paramX";
Flags: shellexec waituntilterminated;
StatusMsg: "Running the script..."
(this is for an internal install, thus cywin is installed, and all paths, scripts are known)