This fixed the issue:
```
#!/bin/bash
NPATH="$(echo $PATH | tr ":" "\n" | grep cygdrive | tr "\n" ":")"
PATH="$NPATH"
nvim "$@"
```
Essentially there is something in my PATH it doesn't like. At some point I'll bisect the problem and see.
It seems my more complicated path from what I do on my Linux boxes, when implemented in cygwin,
is causing the issue.