The cygwin terminal are not supported now as embedded. That would be VERY nice: fetures of this project and a cygwin terminal!
I've been considering working on native Cygwin terminal support, and I've been doing some research here and there to figure out how to do it. I don't really know exactly how much work it is going to be, though. First I need to figure out exactly how I'll get input/output working on the terminal. Once I get a working terminal, the next part is getting a sufficient set of the escape codes, at least the commonly used ones, working for proper terminal emulation.