If only that were so! At least up to gcc version 9.3 it does not work. I will try gcc 10 soonish but I don't have high hopes.

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.