The source directory panda/src/skel is designed to illustrate how to integrate a new standalone C++ module with Panda. This can be a completely standalone class, or in your case a layer around the amBX SDK, as needed.
I’m pretty sure makepanda supports a Cygwin-free build out of the box. It’s only the more powerful ppremake system that prefers to use Cygwin. (We did once have a Cygwin-free set of build scripts for ppremake, but it fell into disuse and may be full of cruft now. You can try it anyway, though–it might still work fine, who knows? You just need to build yourself a Cygwin-free ppremake using the provided MSVC project file.)