Thanks for all of the responses from everyone. 

> If you need to do interactive debugging, run it under cmd or with cygstart.

[Bill Smith] it seems that an ok workaround is for me to use cygstart to start 
a command prompt within a Cygwin shell and then in the command prompt, run the 
program which calls DebugBreak and cause the popup to appear.  The reason for 
needing to run within Cygwin is because we have a complex shell script that 
sets the user environment to run the application.

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