editor/code/ CygwinTerminalProfile

Add this to user settings (Json)

  "terminal.integrated.profiles.windows": {
    "cygwin": {
      "path": "C:\\cygwin64\\bin\\bash.exe",
      "args": ["--login", "-c", "bash"],
      "overrideName": true
    }
  },
  "terminal.integrated.defaultProfile.windows": "cygwin"