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Hard links on a UDF file system

I have a removable disc (IOMEGA REV), and I want to use cygwin to take backups using cp -l and rsync as per
This requires hard links to work, which they do on the NTFS partitions, but the IOMEGA has a UDF file system and they don't seem to work there (revealed by ls -i).
I believe UDF supports hard links (, so maybe its just Cygwin that does not allow them?
Can anyone help?

Some additional background:
My first thought was to reformat the IOMEGA to NTFS but I found I could not. IOMEGA's web site says the following:
*Why does the Iomega REV drive use the UDF file system for PCs?*
The UDF file system is the file system of choice as it overcomes many of the limitations of other popular file systems. The FAT32 file system has a 30GB format limit and a 4GB file size limitation. The NTFS file system does not support removable media. UDF also allows Iomega REV disks to use advanced ECC error correction on its media.
*I am not sure if that claim is true, but I have not been able to find a way to format the disc to NTFS.

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