Using choco instead of apt-cyg because it is available out of the box on GitHub Actions, and can install cygwin unattended.

CC: @embray

Component: porting: Cygwin

Author: Matthias Koeppe

Branch/Commit: 85b3c3d

Reviewer: Dima Pasechnik

Issue created by migration from https://trac.sagemath.org/ticket/29295