MinGW-w64: Cannot build Zephyr project

[lescopc]

Describe the bug
It is not possible to build & run Zephyr on MinGW-w64 because of PATH Unix/Windows difference

Because of MSYS2 PATH auto-conversion, sometimes we get the wrong value going in-and-out CMake (to Shell or Python3).

To Reproduce
cmake -DBOARD=qemu_cortex_m3 -DZEPHYR_TOOLCHAIN_VARIANT=gnuarmemb -DGNUARMEMB_TOOLCHAIN_PATH=/c/Users/%USER%/gcc-arm-10.3-2021.07-mingw-w64-i686-arm-none-eabi %ZEPHYR_BASE%/samples/hello_world

Expected behavior
Get a Zephyr.elf file able to run on QEMU
Then:

qemu-system-arm.exe -M lm3s6965evb -nographic -kernel mybuild/zephyr/zephyr.elf

console:
Timer with period zero, disabling
*** Booting Zephyr OS build v3.0.0-rc3-23-gba939b126203 ***
Hello World! qemu_cortex_m3

Impact
annoyance

Logs and console output
Logs do not reflect the fact that sometimes we get

C:/my/path/on/mingw (which might be valid depending on how you use it)

instead of

/c/my/path/on/mingw (also valid)

Environment (please complete the following information):

• OS: Windows: MinGW-w64
• Toolchain gcc-arm-10.3-2021.07-mingw-w64-i686-arm-none-eabi
• Commit SHA: ba939b1
  which cmake
  /mingw64/bin/cmake
  which python3
  /mingw64/bin/python3

[stephanosio]

See #45383 (comment)

We do not support building Zephyr inside MSYS environment.