Since Cygwin is using mintty, the default shell is bash. I found a way to use zsh by default. All you have to do is edit the Cygwin Terminal shortcut and replace target field.
From:
C:\cygwin\bin\mintty.exe -i /Cygwin-Terminal.ico -
To
C:\cygwin\bin\mintty.exe -i /Cygwin-Terminal.ico /bin/zsh --login