Cygwin ssh: Could not create directory '/home/myuser/.ssh'.

When first running ssh from cygwin 2.5.2, the .ssh directory to store trusted host keys could not be created.
ssh still works OK, but each time it prompts you to accept the host you are connecting to:

Could not create directory '/home/myuser/.ssh'.
The authenticity of host 'myserver (168.250.1.174)' can't be established.
ECDSA key fingerprint is SHA256:eSpqYAq2c7k843RfqpbpvK9F118XsKCArBdBheRN8c0.
Are you sure you want to continue connecting (yes/no)?

Reason is that ssh does not find your home directory. Easiest solution is to point it to your windows home directory. To do this, add this line to your_cygwin_install_dir\etc\nsswitch.conf file:

db_home: /%H