Add Windows MSys CI workflow

[jmid]

The current CI workflow for MinGW windows from #26069 does a good job checking whether things work as intended there,
along with https://windows.check.ci.dev/ 🙂👍

However, the template PR #26072 from @dra27 suggests we add support for MSys while we at it. Yet there is no CI to check the correctness of such changes.

Having CI for MSys can help in practice. For a recent example, in #27846 (comment) I discovered that the executable there is named pkg-config, so unless there are pkgconf aliases on MSys I'm not aware of, some of the current MSys conf-* packages will need patching.

Note: I'm not objecting to adding MSys support! If the abandoned and outdated MinGW freeglut package I discovered in #27846 is representative of MinGW's status, it makes sense to support - and potentially move to MSys in the future.