Not that I know of. Cygwin doesn't update the OS to have symlinks, rather, it allows you to 'fake' symlinks from within the Cygwin shell. You can set up the shell to use Windows LNK files, which may do what you want, but ...
From the Cygwin Documentation:
Creating shortcuts with cygutils
Another problem area is between
Unix-style links, which link one file
to another, and Microsoft .lnk files,
which provide a shortcut to a file.
They seem similar at first glance but,
in reality, are fairly different. By
default, Cygwin does not create
symlinks as .lnk files, but there's an
option to do that, see the section
called “The CYGWIN environment
variable”. These symlink .lnk files
are compatible with Windows-created
.lnk files, but they are still
different. They do not include much of
the information that is available in a
standard Microsoft shortcut, such as
the working directory, an icon, etc.
The cygutils package includes a
mkshortcut utility for creating
standard native Microsoft .lnk files.
But here's the problem. If Cygwin
handled these native shortcuts like
any other symlink, you could not
archive Microsoft .lnk files into tar
archives and keep all the information
in them. After unpacking, these
shortcuts would have lost all the
extra information and would be no
different than standard Cygwin
symlinks. Therefore these two types of
links are treated differently.
Unfortunately, this means that the
usual Unix way of creating and using
symlinks does not work with native
Windows shortcuts.