Inspired by the question tmux-man-page-search-highlighting on StackOverflow, I found the solution for this problem from tmux faq, but I applied it with a little tweak (The original solution will cause coloring problems in ls output for my Cygwin/Mintty).

Make sure you have ncurses package installed in Cygwin!

The result can be found at .terminfo/73/screen-256color

The final step is to set the default-terminal to screen-256color in your .tmux.conf