Use o cygcheck para interrogar o banco de dados de pesquisa do cywgin. Isso também está na Web, no link
$cygcheck -p cygnettle-4.dll
Found 5 matches for cygnettle-4.dll
cygwin32-nettle-2.7-1 - cygwin32-nettle: libnettle/libhogweed for Cygwin 32bit toolchain (installed binaries and support files)
libnettle4-2.7-1 - libnettle4: A cryptographic library that is designed to fit easily in more or less any context (libnettle runtime) (installed binaries and support files)
libnettle4-2.7-2 - libnettle4: A cryptographic library that is designed to fit easily in more or less any context (libnettle runtime) (installed binaries and support files)
nettle-debuginfo-2.7-1 - nettle-debuginfo: Debug info for nettle (installed binaries and support files)
nettle-debuginfo-2.7-2 - nettle-debuginfo: Debug info for nettle (installed binaries and support files)
exluding debuginfo and cygwinXX cross library
the missing package is
libnettle4