According to Kant, it is immoral to do anything that:
a) Would cause a contradiction.
b) Cannot be applied universally.
Since it would be a contradiction for everyone to cheat, as the meaning of the word would cease to exist, then it violates part a. (If everyone cheated, then the word would not have meaning anymore, you only cheat when someone expects you to follow the rules. Since everyone is cheating, then no one expects you to follow the rules. If no one is expecting you to follow the rules, you cannot be breaking the rules by cheating. Thus it contradicts itself.)
And since no one could rationalize the statement “Everyone should cheat.” Then it cannot be applied universally and thus, it violates part b. (If you could rationalize the statement “everyone shoult cheat” then you are violating part a which says your moral maxim should not contradict itself. Thus you cannot rationalize the universal statement that everyone should cheat.)
Furthermore, you cannot stack the deck by putting conditions on the moral maxim. It’s illogical to use the argument that everyone should cheat on Tuesday in Illinois when cheating at Axis and Allies while playing as England attacking Berlin.
So no, it is not moral to cheat at any time according to Kant’s theories of morals.
Furthermore, utilitarians (like John Mills) would say that cheating is immoral because it does not create the greatest happiness for the greatest number. If you are playing Axis and Allies and you cheat when you play your nation, you may create happiness for yourself, but when others find out you are cheating, in the long run, you will create less happiness for the group of 5 players as a whole then you create for yourself. Thus you create the greatest happiness for the greatest number by not cheating.
Furthermore, Divine Command Theory would consider cheating the same as lieing (you are lieing about what you can do and thus cheating your opponent) and that is strictly considered immoral by just about every religion on the planet and throughout antiquity.
Finally, relativists would say that cheating is a personal opinion and that if it is moral to you then it is moral. However, if your opponents think it’s moral to take you out back and beat you into a coma when they find out you cheated, then that’s moral too. Since it’s nearly impossible for a person to think it is moral to be beaten into a coma, then relativists would tend to argue that cheating is also immoral when dealing with rational peopld.