missing sqlite3 history file
For Windows console programs, the command history is handled by the Windows console itself. There are separate history buffers for different programs and different console sessions, and these buffers are not stored anywhere by default. However, you can use the doskey tool to manage them manually.
Cygwin uses Windows pipes to emulate the Unix tty devices; this often results in programs not detecting that they are running in a console. Try running the program both from within the Cygwin shell and from the Windows shell.