Try cygwin fix

theano/gof/cmodule.py

@@ -1530,8 +1530,10 @@ def get_lib_extension():
     Return the platform-dependent extension for compiled modules.
 
     """
-    if sys.platform in ['win32', 'cygwin']:
+    if sys.platform == 'win32':
         return 'pyd'
+    elif sys.platform == 'cygwin':
+        return 'dll'
     else:
         return 'so'