Applying the fix from this thread worked for us: Statically linked mingw binaries - #3 by yshui
Eg, adding the following to the build block (pkgs.pkgsCross.mingwW64.stdenv.mkDerivation):
buildInputs = [
(pkgs.pkgsCross.mingwW64.windows.mcfgthreads.overrideAttrs {
dontDisableStatic = true;
})
];