CI: Install a library to link to on Cygwin

Cygwin separates import libraries from dynamic libraries (needed link time vs run time).

Author: DWesl

.github/workflows/main.yml

@@ -114,6 +114,7 @@ jobs:
             python${{ matrix.python }}-tox,
             gcc-core,
             gcc-g++,
+            zlib-devel,
             ncompress
             git
       - name: Run tests