You may want to try (cross-)?compiling with mingw32.
I've installed the debian package mingw32 on my x86 debian gnu/linux box, and it seems to work to build nettle with ./configure --host=i586-mingw32msvc, with assembler and all. I can even run most of the test programs in wine, but I haven't tested the generated object code beyond that.
Configuration for cross compiling has some minor problems in the released version of nettle, due to the use of uname in the configure script for setting some of the compilation flags.