If you don't strictly need naive Bayes, I would suggest libshogun. It has a huge number of high-quality classifiers, and it apparently has been successfully built for win32 on cygwin. After that's built you can just p/invoke to the DLLs from C#. I think you will find it difficult to find a classifier library written in C# due to the often performance-heavy nature of classification, so your best bet is to call a native library such as this.
