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my knowledge on this tells me that iptables is a solid part of the linux 2.4/2.6 kernel (as ipchains was earlier, in 2.2 and so on). so to use iptables, you need to enable it in a linux kernel, and then install the iptables userspace app to control it (the traffic goes through the kernel, so the firewall is there to block unwanted traffic before it comes into userspace, or leaves the system).
so, according to this, no. you would need to run the whole linux kernel through cygwin, which is basically either impossible or much more difficult than running a linux itself....
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