There is no need to create a POSIX /dev directory as Cygwin automatically simulates it internally. These devices cannot be seen with the command ls /dev/ although commands such as ls /dev/tty work fine. If you want to be able to see all devices in /dev/, you can use Igor Pechtchanski's create_devices.sh script.
Cygwin supports the following devices commonly found on POSIX systems: /dev/dsp, /dev/null, /dev/zero, /dev/console, /dev/tty, /dev/ttym, /dev/ttyX, /dev/ttySX, /dev/pipe, /dev/port, /dev/ptmx, /dev/mem, /dev/random, and /dev/urandom. Some other POSIX devices, such as /dev/kmem, are planned for development. Cygwin also has several Windows-specific devices: /dev/comX (the serial ports, starting with COM1 which is the same as ttyS0), /dev/conin (Windows CONIN$), /dev/conout (Windows CONOUT$), /dev/clipboard (the Windows clipboard, currently text only), and /dev/windows (the Windows message queue).