When generating an IntelliJ project for OpenJDK in a Cygwin environment with bin/idea.sh, the project is generated successfully.
However the import of the generated project fails with the error message :

VCS root configuration problems -
The directory \cygdrive\C\hg\open\jdk\jdk6 is registered as a hg4idea root
but no hg4idea repositories were found there .
C.\hg\open\jdk\jdk6

It looks like the (xml)-files generated in the .idea-folder of OpenJDK contain Cygwin-paths and IDEA IntelliJ cannot handle those.
So probably the idea.sh and/or related makefile(s) and generators might need to write Windows-paths (C:/...) into the files instead of cygwin-paths (/cygdrive/C/...).