I had the same problem.
I found a solution that for sure is not straightforward and maybe not clean, but at least is working.
1) I recompiled from sources gdb using as directory separator the character ";" instead of ":" (I don't remember which file I had to modify, but it was quite easy to find). If you want to keep the original gdb executable file, you can rename this file as you want and put it in the cygwin/bin directory...
2) From codeblock, menu "Settings/compiler and debugging settings/debugger settings", in the debugger initialization commands I put:
set substitute-path /cygdrive/c/ C:/
set substitute-path /cygdrive/d/ D:/
set substitute-path /cygdrive/e/ E:/
set substitute-path /cygdrive/f/ F:/
set substitute-path /cygdrive/g/ G:/
set substitute-path /cygdrive/h/ H:/
set substitute-path /cygdrive/j/ J:/
set substitute-path /cygdrive/y/ Y:/
set substitute-path /cygdrive/z/ Z:/
Of course, this can be changed based on your disk configuration...
As I told you, I am not an expert, and possibly I found a complicated solution for a simple problem. I leave to the gurus out there to indicate a better solution...
Cheers,
Beppe