For what it's worth - after a couple of days fiddling with cygwin, anaconda & Bash on Ubuntu on Windows, getting the same errors reported by you and others in this thread - trying the solutions proposed in Stack Overflow as well as here, without resolving the problem -
I gave up the effort on Windows 10, instead installed Linux Mint on VirtualBox on my Windows PC, and now have a working setup. Would it be worth you trying that approach?
Update: having satisfied myself that I could get a p2 instance running via VirtualBox, I tackled the native Windows installation again.
As noted elsewhere in this thread, the key instructions for enabling Awscli in Cygwin are in the course wiki at http://wiki.fast.ai/index.php/Awscli_in_cygwin. I'd tried them before without success. This time I deleted all AWS files in my Anaconda installation (in \Lib\site-packages and \Scripts) before running the awscli_in_cygwin instructions - success!
'ssh' was not recognised by Cygwin and had to be installed manually.
Finally, running setup_p2.sh was throwing up lots of error messages, so I followed the 'Starting Over with AWS' in the wiki (http://wiki.fast.ai/index.php/Starting_Over_with_AWS) to clear the crud from previous failures, and setup_p2.sh ran successfully. I can now start, connect & stop instances via Cygwin - hooray! Time to tackle Lesson 1...