We ship parts of Cygwin, mainly for it’s UNIX tools, to make it easier for users to port applications from Linux to Windows. To add more functionality to Cygwin, you will need to install the full version from cygwin.com.
However, the PGI compilers are native Windows compilers. So while the PGI Compilers and tools will still run fine under the full Cygwin environment, linking with Cygwin libraries does not always work. So if libexpat is a Cygwin compiled lib, it may or may not link properly with PGI compiled objects.
If you can find either the source or a Windows native library (such as a DLL), it would work better.
Hope this helps,