Do you mean that Cygwin SDL for Windows doesn't support Windows output
at all, just X11?
It may be that Cygwin/SDL could output directly to Windows DirectX or OpenGL or some other device without X11, but I was unable to get that to work despite trying to force it. However it worked providing X11 provided the display.
I think it may have more to do with Cygwin pretending to be Linux, and needing to do everything via X11, even if it ends up in a different device at some lower level (?).
I never really use X much under Cygwin - it's really just a handy way for me to get at GNU dev tools etc. I wouldn't actually use Cygwin as a replacement for a Linux working environment. :)
Mingw might them be better option as it uses windows libraries.
Unfortunately MinGW isn't well supported under Cygwin (I tried to cross compile from there - but only half of the components are available) and I didn't get as far as trying a cross compile from a real Linux environment.
I didn't see any native Windows build projects (e.g. VC6 or NMAKE or whatever else) so I presume MinGW has to be part of a cross compile arrangement?
Doug.