If you look inside "/usr/bin/ssh-user-config", you will notice the advise:
csih_error_multi \ "There is no home directory set for you in the account database." \ 'Setting $HOME is not sufficient!'
Without touching the Windows user database, the fastest way to define a different home is:
mkpasswd -d -u "Your_Windows_User_Name" > /etc/passwd or mkpasswd -l -u "Your_Windows_User_Name" > /etc/passwd
likely "will". As you user is local or is a domain one.
And modify the last but one field "/home/will" with the value you want.
Additional reading, on Windows and Cygwin users:
https://cygwin.com/cygwin-ug-net/ntsec.html https://cygwin.com/cygwin-ug-net/ntsec.html#ntsec-mapping-nsswitch