So I just started looking at building with MSYS/MingW, with some progress, so I thought I'd share some notes.
Install using the installer from msys2.org and then follow the steps listed (run pacman -Syu, close shell and in a new one run pacman -Su)
Then install additional packages: pacman -S gcc gmp-devel tar diffutils
Copy and unpack a Pike source export. Run make.
Now to the problems. I have issues with compiling threads.c in CONFIGURE_TEST mode. I think it has to do with configure doing too many assumptions on what works on Windows_NT, but just disabling NT_THREADS doesn't work either.
There are packages for Nettle (pacman -S nettle libhogweed), but they lack header files. Latest Nettle builds and installs cleanly, but isn't properly detected by configure.
There are some issues with mysql and jpeg that I'm ignoring for now with --without-mysql --without-jpeg.