For various reasons i wanted to run the Renjin CLI on cygwin. To add support for that in the script, the last lines of the renjin shell script can be changed to:

CP=$(echo $RENJIN_HOME/dependencies/*.jar | tr ' ' ':')
if [[ "$OSTYPE" == "cygwin" ]]; then
CP=$(cygpath -pw "$CP")
fi

exec "$JAVACMD"
$RENJIN_OPTS
-cp "$CP"
org.renjin.cli.Main "$@"