Could you generate the file-entities.ent file as normal, then do a check to see if it is using the cygwin jade and if so, do a mass replace on the strings in the file-entities.ent file? If I was just using PHP then I could do a mass str_replace on the file after reading it into an array, for example. But I don't know how the ./configure script works - it isn't something I've ever done (but it is interesting!).
We could do anything :) The problem is that we need to first found out that it will work with that openjade. The suspected weakest point is openjade (as far as Nuno tested it before :). Open the file with a text editor, and get proper cygwin path values there, and see if openjade works. If that works, then we could go on with pushing configure and/or file-entities.php.in to work better with that, but unless openjade in cygwin is not proven to work well, there is no point...
Goba