  Aims: We wish to study the origin of the X-ray emission of three massive
stars in the Cyg OB2 association: Cyg OB2 #5, #8A, #12. Methods: To this aim,
dedicated X-ray observations from XMM and Swift are used, as well as archival
ROSAT and Suzaku data. Results: Our results on Cyg OB2 #8A improve the phase
coverage of the orbit and confirm previous studies: the signature of a
wind-wind collision is conspicuous. In addition, signatures of a wind-wind
collision are also detected in Cyg OB2 #5, but the X-ray emission appears to be
associated with the collision between the inner binary and the tertiary
component orbiting it with a 6.7yr period, without a putative collision inside
the binary. The X-ray properties strongly constrain the orbital parameters,
notably allowing us to discard some proposed orbital solutions. To improve the
knowledge of the orbit, we revisit the light curves and radial velocity of the
inner binary, looking for reflex motion induced by the third star. Finally, the
X-ray emission of Cyg OB2 #12 is also analyzed. It shows a marked decrease in
recent years, compatible with either a wind-wind collision in a wide binary or
the aftermath of a recent eruption.
