pip3 install neovim should work on mingw64 mintty session.
Neovim python client requires greenlet. Because greenlet does not support mingw64, it crashes as greenlet mistakenly selects switch_amd64_unix.h for mingw64. The crash is due to the fact that sizeof(long) is different on UNIX and MINGW64, 8 and 4, respectively.
pip3 install neovim and it will crash.Here are my first and second attempts to fix greenlet for mingw64. The second PR is merged. If you git clone the merged branch you can now build it with python3 setup.py build and install with python3 setup.py install. After installation pip3 install neovim works.