Phew that will probably be complicated. But interesting, If you do any changes to Gpg4win for that please be sure to send a patch 
Regarding the missing libgcc_s_sjlj-*.dll if you do not need it with llvm mingw you might just want to create dummy files for them in the src subfolder of Gpg4win.
So in the src subfolder do a:
touch libgcc_s_sjlj-1.dll-x libstdc+±6.dll-x libwinpthread-1.dll-x
A better fix for this might be to check for the target in configure and then handle that properly but that is more complicated.