This has been an open issue for literally years now. But apparently nobody cares enough to fix it.
The whole reason I installed a cross compiler to Windows is so I could cross compile some search engine code I wrote that uses C++ threads. But if you have a copy of the header and run-time files from Visual Studio (there is a free edition of that now) you can actually use clang to cross compile for Windows from Linux just fine, including C++ threads.
That being said, I often use my own STL like mutex class which wraps SRWLock on Window and pthtead_mutex_t on Linux/macOS.
Also, as I heard it, winpthread combines the warts of windows threads with the warts of pthreads, doing neither justice.