I can no longer edit my answer, but I just downloaded it and extracted the setup archive - you're right. OpenSSH for Windows is not statically linked to cygwin.
I do, however, still think it's possible to statically link OpenSSH with Cygwin, in which case it would become the answer to the original question.
I do, however, still think it's possible to statically link OpenSSH with Cygwin, in which case it would become the answer to the original question.