With Alpine distro, it works with:
apk add --no-cache musl-dev i686-mingw-w64-gcc mingw-w64-gcc
/.cargo/config.toml
[target.i686-pc-windows-gnu]
linker = "i686-w64-mingw32-gcc"
ar = "i686-w64-mingw32-gcc-ar"
[target.x86_64-pc-windows-gnu]
linker = "x86_64-w64-mingw32-gcc"
ar = "x86_64-w64-mingw32-gcc-ar"