How did I fix «cp: cannot create symbolic link '<...>': No such file or directory» in Cygwin?

[dmitrii_fediuk]

(export CYGWIN=winsymlinks:native; cp <...>)

[dmitrii_fediuk]

• Why could cp in Cygwin could fail with the error «cp: cannot create symbolic link '<...>': No such file or directory» in the winsymlinks:nativestrict mode?
• A comparison of symbolic link types in Windows and Cygwin