This is confusing to everyone.
Excel Reports does not show the intersection tables.
After looking the Database Reference Guide (HELP / DOCUMENTATION LIBRARY / DATABASE REFERENCE GUIDE)
This query gave me the results I wanted.

SELECT
RQ_REQ_NAME AS ''REQUIREMENT_NAME''
, REL_NAME AS ''RELEASE_NAME''
, RCYC_NAME AS ''CYCLE_NAME''
FROM
REQ
,REQ_RELEASES
,REQ_CYCLES
,RELEASES
,RELEASE_CYCLES
WHERE
RQRL_REQ_ID = RQ_REQ_ID
AND RQC_REQ_ID = RQ_REQ_ID
AND RQRL_RELEASE_ID = REL_ID
AND RQC_CYCLE_ID = RCYC_ID
ORDER BY
RQ_REQ_NAME, REL_NAME, RCYC_NAME