Here is a patch to the pdfjam shell script to make it work under Cygwin:

--- pdfjam.original 2019-01-07 16:12:47.894523500 +0100
+++ pdfjam.patched-for-cygwin   2019-01-07 16:12:33.492142300 +0100
@@ -949,6 +949,9 @@
     (umask 077 && mkdir "$PDFJAM_TEMP_DIR")
 fi
 umask $original_umask
+case `uname` in
+    *CYGWIN*) PDFJAM_TEMP_DIR=`cygpath -w "$PDFJAM_TEMP_DIR"`;;
+esac
 ##
 ##  TEMPORARY DIRECTORY ALL DONE
 ##
@@ -1073,7 +1076,10 @@
        sourceFullPath="$sourceDir"/"$pdfName"
        uniqueName="source-$counter.pdf"
        uniqueName="$PDFJAM_TEMP_DIR"/"$uniqueName"
-       ln -s "$sourceFullPath" "$uniqueName"
+        case `uname` in
+            *CYGWIN*) cp "$sourceFullPath" "$uniqueName";;
+            *) ln -s "$sourceFullPath" "$uniqueName";;
+        esac
        ;;
     esac
     filePageList="$filePageList","$uniqueName","$pageSpec"
@@ -1123,6 +1129,7 @@
 texFile="$fileName".tex
 msgFile="$fileName".msgs
 tempFile="$PDFJAM_TEMP_DIR"/temp.tex
+backslashsafe_filePageList=$(echo $filePageList | sed 's~\\~/~g')
 (cat <<EndTemplate
 \batchmode
 \documentclass[$documentOptions]{article}
@@ -1137,7 +1144,7 @@
 \usepackage{pdfpages}
 $preamble
 \begin{document}
-\includepdfmerge[$miscOptions]{$filePageList}
+\includepdfmerge[$miscOptions]{$backslashsafe_filePageList}
 \end{document}
 EndTemplate
     )  > $texFile