Comment by mstorsjo

Oh, I forgot to add; these days, msys2 have got a number of extra package repos. They have one, "CLANG64", which has got Clang/lld as the default compiler (just like in llvm-mingw) and with all packages built that way. And there, it defaults to native TLS too. Depending on your use case, this might be easier to take for a spin than llvm-mingw.