Nevermind, trying to build OpenXcom in MSYS MinGW64 is too much of a mess:
The latest official release of yaml-cpp is broken, resulting in linker errors, and is the version shipped by both MSYS and Vcpkg package managers. They fixed the bug 6 months ago, but the latest release is 16 months old, so there's nothing the package managers can do about it.
Meanwhile, the MSYS MinGW64 packages for SDL1.2 also seem broken, as they also result in linker errors, and Vcpkg doesn't even ship SDL1.2 because it's deprecated. I also noticed a couple of bugs in OpenXcom's CMake goop for SDL if you're not using the 'deps' path.
This leaves me with either trying to download someone's arbitrary pre-built versions of the dependencies and hoping they work with current MSYS MinGW64, or having to build them all myself from source.