I didn't understand what you wrote, but I did a bunch of things to make it work. I think this will solve the convert-ly problem as well, though I haven't checked. This is in mintty shell using Cygwin on Windows 10.
$ ls -l /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/midi2ly
-rwxrwx---+ 1 Administrators None 39034 Apr 24 07:05 '/cygdrive/d/Program Files (x86)/LilyPond/usr/bin/midi2ly'
$ which python3
which: no python3 in ...
$ which python
/cygdrive/d/ProgramData/Anaconda2/python
$ python --version
Python 2.7.15 :: Anaconda, Inc.
$ /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/python --version
Python 3.7.4
$ /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/python /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/midi2ly --version
D:\Program Files (x86)\LilyPond\usr\bin\python.exe: can't open file '/cygdrive/d/Program Files (x86)/LilyPond/usr/bin/midi2ly': [Errno 2] No such file or directory
$ cp /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/midi2ly .
$ mv midi2ly midi2ly.py
$ /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/python midi2ly.py --version
midi2ly (LilyPond) 2.22.1
$ /cygdrive/d/Program\ Files\ \(x86\)/LilyPond/usr/bin/python midi2ly.py bwv0026_04.mid
LY output to `
bwv0026_04-midi.ly'...
$ echo works!
works!
Cheers,