For the first time, we have explored the spatial substructure of the Cygnus OB2 association using parallaxes from the recent second Gaia data release. We find significant line-of-sight substructure within the association, which we quantify using a parametrized model that reproduces the observed parallax distribution. This inference approach is necessary due to the non-linearity of the parallax distance transformation and the asymmetry of the resulting probability distribution. Using a Markov Chain Monte Carlo ensemble sampler and an unbinned maximum likelihood test, we identify two different stellar groups superposed on the association. We find the main Cygnus OB2 group at ~1760pc, further away than recent estimates have envisaged, and a foreground group at ~1350pc. We also calculate individual membership probabilities and identify outliers as possible non-members of the association.