Take a look at PuTTyCyg.
Also I like to use MinTTY available through the Cygwin installer...
I suppose if you somehow managed to install and start an ssh server on your local cygwin environment, putty should be able to connect to localhost
PuTTY lets you connect to servers with ssh. Have you tried running an sshd on your Cygwin, and connecting to localhost with PuTTY ?
sshd