For the current user the following worked for me:
Close Cygwin.
Set the HOME Windows user environment variable.
Start Cygwin.
run “mkpasswd -c -p “$(cygpath -H)” > /etc/passwd”.
Restart Cygwin.
I confirmed it worked by running ssh-keygen without any arguments. After making this change the app now defaults to saving the key to /cygdrive/c/Users/user instead of /home/user.
I don’t know if setting HOME is required, but I did it anyway per instructions for setting up TortoiseGit with Cygwin using Tortoise’s official documentation for unofficial Cygwin support here. Setting HOME alone though was not enough for ssh-keygen to recognize the home directory change.
Also, note that Cygwin’s official documentation on this issue can be found here.
Confirmed in Windows 7 using 64-bit Cygwin v1.7.35.