Your question doesn't say what you are trying to achieve and what you've tried, so I can only offer guesses to help you, but:
Each job..steps.run starts an independent process. Provided you're not setting jobs..defaults.run.shell, a separate step should execute using the default shell (pwsh).
If you're explicitly running a Cygwin shell in your step, then you should be able to craft a multi-line command which executes commands after that shell has exited.
Is there a way to exit from cygwin? Seems like once I am in it, I am not able to log out of it.