Windows executables end typically with a .exe. It’s been a while since I’ve messed with running CMake in a MSYS shell but you have to be careful of using backslashes and forward slashes and the .exe extension.
In a clean build try running CMake with one of the --trace options and you’ll see where it is failing. If I recall correctly something like get_filename_component is used to verify that the compiler exists in the filesystem. But because the .exe is missing from the path then it fails the filesystem check and that is where it chokes.