I'm running into similar issues, not being able to build on bash on Windows for Windows. Initially, there seemed to be filename length issues, so I started using C:\a as the base directory. Even after doing that, I get the following errors:
In the depends folder, the first run of "make HOST=x86_64-w64-mingw32 -j4" ends with:
config.status: executing libtool commands
make[2]: Leaving directory `/mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/native_protobuf/2.6.1-e228208c78f'
make[2]: Entering directory `/mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/native_protobuf/2.6.1-e228208c78f'
make[2]: Leaving directory `/mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/native_protobuf/2.6.1-e228208c78f'
make[1]: Leaving directory `/mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/native_protobuf/2.6.1-e228208c78f/src'
make: *** [/mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/native_protobuf/2.6.1-e228208c78f/./.stamp_built] Error 2
Running "make HOST=x86_64-w64-mingw32 -j4" a second time ends with:
rm: cannot remove /mnt/c/a/bitcoin/depends/work/build/x86_64-w64-mingw32/boost/1_59_0-b0bbbf17cd7/b2: Input/output error
make: *** [/mnt/c/a/bitcoin/depends/work/staging/x86_64-w64-mingw32/boost/1_59_0-b0bbbf17cd7/.stamp_staged] Error 1