In your case, try also copying the cygwin1.dll file (but this may depend on other DLLs) (of course, you must comply with the Cygwin license with respect to the distribution of cygwin1.dll)
In cygwin, you can always check the necessary modules using:
objdump -p a.exe | grep 'DLL Name'
OR
cygcheck ./a.exe
or for windows in general, use something like this tool: Dependency Walker
Amro
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