I have these in my .zshrc:

  autoload edit-command-line
  zle -N edit-command-line
  bindkey '^X^E' edit-command-line

And if you use set -o vi in .bashrc, or set editing-mode vi in .inputrc, then 'v' will do the same thing, e.g.

    $ blah blah[ESC]v

puts you in vim with the command line thus far.

I tried "set -o vi" and every v sent me into the editor. This was on the latest cygwin.

Well, you must have been command mode. Try pressing "i".

ctrl-x ctrl-e ... the e isn't naked as you suggested.