I haven't been involved with Wine in a long time but the Wine test suite itself is regularly run on Windows:
https://test.winehq.org/data/
Here's an admittedly very old article by Dan Kegel on how to compile it on Windows: http://www.kegel.com/wine/wow.html
But yeah, I don't think it's explicitly supported since it's not their target market :) Codeweavers' focus is running Windows apps on Mac and Linux (Crossover - go support them! https://www.codeweavers.com/)
Edit: It looks like they completely dropped support for it as I can't find any of the old articles anymore; Seems it only supports mingw setup now. https://wiki.winehq.org/Cygwin_and_More