Assume you’ve built a mingw64 package by makepkg-mingw, we now have a package file name like: mingw-w64-x86_64-neovim-0.9.5-4-any.pkg.tar.zst.

Here is the script I used:

tar -tf /usr/src/MINGW-packages/mingw-w64-neovim/mingw-w64-x86_64-neovim-0.9.5-4-any.pkg.tar.zst | grep -v /$ |
	while read f; do
		source="$(cygpath -w /$f)"
		dest="$(cygpath -w '/c/Program Files/Git/'$f)"
		echo "$source => $dest"
		if [ ! -d "$(dirname "$dest")" ]; then
			mkdir -pv "$(dirname "$dest")"
		fi
		cmd <<<"mklink /H \"$dest\" \"$source\""
	done

Thanks to this SO post.