applen and applewin_libretro work on the mingw64 environment of MSYS2.
Very very important to install a mingw-w64-x86_64 toolchain.
Then configure as usual: cmake .. -G Ninja or your preferred version of make.
static linking is supported on mys2 and Ubuntu, pass -DSTATIC_LINKING=ON to cmake.
On Ubuntu libz cannot be statically linked.
Start a terminal with
C:/msys64/msys2_shell.cmd -defterm -here -no-start -mingw64
applen stores its settings in %LOCALAPPDATA%\applewin\applewin.conf