Thank you very much for the answer in Executing application fails with code 0xc0000135 during build.
I don’t fully understand how the problem in that thread is connected to my issue.
I tried to link libgcc and libstdc++ statically, with no success however.
But running cygcheck gave me some additional insights:
cygcheck: track_down: could not find OPENGL32.dll
On Ubuntu, I can use xvfb. On Windows, there seems to be no solution yet: