No I don't believe it does. There has definitely been some interest in the past to run glu on Windows. I know there were some people trying to make it work but I am not sure if they were successful.
I would think that the "Windows Subsystem for Linux" that was released part of Win 10 anniversary update would be a better route to go than Cygwin since most of the scripts should be able to run. I don't know if anybody has tried. I would imagine some of the code may have to be tweaked.