Well, whatever you are trying is pretty much possible. but some comments
I would like to install debian on an old celeron 500mx without a gui interface ï¿½ command only
The idea behind this is, if the deb box is less stressed by a gui (its pretty slow) there is less chance of failure. If I can then power the gui on another faster box remotely, admin via a gui is faster.
I don't think this would be the outcome., Because in any case you would have to have an Xserver running on the deb machine for the cygwinX to run the client on XP. So, your assumtpion that you would install a debian with no GUI, is fallacy, because Xserver is necessary for this type of setup.
[And I have no idea whether this can be done without the deb running Xserver. Do post your result in case you are able to do it .. Even I want such a setup.]