Update information Edit(Jun.18)
Actually, Cygwin has libev and nghttp2 packages now. So, you can use h2load feature even if you don’t build nghttp2 by yourself. Nevertheless, if you build nghttp2 on Cygwin, you need to build the Jansson and the spdylay before building it because Cygwin doesn’t have their packages. But, according to the current trend, I think you don’t need the spdylay package. (2016.6.18)
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libev-4.22.tar.gz and nghttp2-1.6.0.tar.xz were released, so I re-built h2load on Cygwin. If you haven’t read ‘Building h2load on Cygwin‘, read the post first before your building h2load.