I have some Android experience for building Apps using Java.
Recently I shifted to native development and I always preferred Windows. But native some time needs building using shell script / make files.
This can be done using cygwin but there are few things to deal with cygwin and windows. Some times build works or some times you have to delete libs , objs and then clean build.
Can any one recommend OS platform for Native Development using CPP, Cocos2DX ?
For Android development involving NDK using Windows is almost no option. You will have all the problems with debugging native code and also because many existing native libraries (e.g. ffmpeg) are built under Linux. Ubuntu is fine. I have not tried MacOS though.