Control-r reverse-i-search in Bash: how do you “reset” the search in Cygwin?

My Bash works as you are expecting. Maybe hitting Ctrl + C instead of Esc can help.

Also, you can search forward using Ctrl + S.

Ctrl + S works if it does not send a “stop” to your terminal, i.e., if “stty -a” gives you “-ixon”. You can change it by “stty -ixon”.

Thanks to @Phil for reminder.