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The incompatibility is with the Python library compatible with MinGW compiler. I tried compiling CPython but it just doesn't work as it seems that the support for MinGW was dropped at some point
Do you have the mingw bash setup as well? If so perhaps installing the python you need using pyenv (https://github.com/pyenv/pyenv) will help. I use pyenv to build different python binding version using pybind and cmake under linux.
However, someone tried to port the Python build system to CMake, so you could try that: https://github.com/python-cmake-buildsystem/python-cmake-buildsystem