Hi Eran,
Sage's Trac has a wiki page about building SageMath in 64-bit Cygwin:
https://trac.sagemath.org/wiki/Cygwin64Port
(maybe you knew that already).
Another way to go about building SageMath under Windows 10
is to activate the "Windows Subsystem for Linux" (you need to
go to advanced preferences for that), which lets you install any
of a selection of flavours of Linux right inside Windows.
If you choose to install Ubuntu this way inside your Windows,
you can then apt-get install lots of things (including SageMath).
No report of successfully *buildling* SageMath in that environment
has come to my eyes so far, but it would be good news if it works.
Samuel
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