Add this to user settings (Json)
```plaintext
  "terminal.integrated.profiles.windows": {
    "cygwin": {
        "path": "C:\\cygwin64\\bin\\bash.exe",
        "args": ["--login"],
        "overrideName": true,
        "color": "terminal.ansiRed",
        "env": {
            "CHERE_INVOKING": "y"
        }      
     }
  },
  "terminal.integrated.defaultProfile.windows": "cygwin"
```