On Windows 10, MSYS2, I am successful building using this cmake:
cmake .. -DALLEGRO_INCLUDE_DIR="C:/msys64/mingw64/include/" \ -DALLEGRO_LIBRARIES=/mingw64/lib/liballegro_monolith.dll.a \ -G"MSYS Makefiles" \ -DGUSGAME_INCLUDE_DIR=../../../gusgame/gusgame/include \ -DGUSGAME_LIBRARY=../../../gusgame/gusgame/lib/libgusgame.a