So far, I found using the SHELL variable in the Emacs environment is a reliable to to identify it it is running in minGW environment.

No matter in MSYS or mingGW environment, the SHELL variable is set to

/some/path/cmdproxy.exe

And I use the last part as a identifier.

Using system-type

If you can roll out cygwin environment, then using system-type is a reliable way to test if Emacs is running in minGW or MSYS environment. If system-type is windows-nt, it must be one of the two.

Alternatively

So far, I found using the SHELL variable in the Emacs environment is a reliable to to identify it it is running in minGW environment.

No matter in MSYS or mingGW environment, the SHELL variable is set to

/some/path/cmdproxy.exe

And I use the last part as a identifier.