You may have to live with a two-step directory creation process. Check out File::chmod -- it will set file permissions, but does not use the same internals as the Perl mkdir() call.

That said, Cygwin can be an interesting bucket sometimes -- how things work often depend largely on how your Cygwin is built and configured. The File::chmod module works under ActiveState Perl, however, so that might be your solution to running your script under Windows.