That's strange. I recently built on Windows 10 with msys2, here's how I did it (and no changes to JOGL's makefiles was required):
# Windows: get MSYS2 (file msys2-x86_64-20180531.exe) from https://www.msys2.org/
# double-click, install to C:\msys64
# run C:\msys64\msys2.exe, type "pacman -Syu", close window when it's done
# run C:\msys64\msys2.exe again, type "pacman -Su"
# run C:\msys64\msys2.exe again
pacman -S mingw-w64-x86_64-binutils mingw-w64-x86_64-crt-git mingw-w64-x86_64-gcc mingw-w64-x86_64-gcc-libs mingw-w64-x86_64-gdb mingw-w64-x86_64-headers-git mingw-w64-x86_64-libmangle-git mingw-w64-x86_64-libwinpthread-git mingw-w64-x86_64-make mingw-w64-x86_64-pkg-config mingw-w64-x86_64-tools-git mingw-w64-x86_64-winpthreads-git mingw-w64-x86_64-winstorecompat-git make
# add C:\msys64\usr\bin and C:\msys64\mingw64\bin to PATH