Since this is an XTerm running in the Cygwin X server, the X server is doing all the keyboard input translation, independently from the keyboard translation Windows does for other programs (the X server reads the raw keyboard input from the device). So you have to use the X11 methods of changing keyboard layouts. Into your .xinitrc
or .xprofile
(I can't remember which one Cygwin uses) put the following command
setxkbmap us
To load the US keyboard layout. You can type it also from your xterm when you need it. Read the manpage of setxbmap
for details.