Let's try this instead.

.github/workflows/ccpp.yml

@@ -24,14 +24,10 @@ jobs:
   build-windows:
     runs-on: windows-latest
     steps:
-    - uses: numworks/setup-msys2@v1
-      with:
-        msystem: MSYS
     - uses: actions/checkout@v1
     - name: pacman
-      run: msys2do pacman -S --noconfirm --needed make ninja mingw-w64-i686-libusb mingw-w64-i686-sqlite3 mingw-w64-i686-zlib mingw-w64-i686-gcc zip
-    - name: make
+      shell: python scripts\msys-bash.py {0}
       run: |
-        set MSYSTEM=MINGW32
-        msys2do ls /
-        msys2do make
+        pacman -S --noconfirm --needed make ninja mingw-w64-i686-libusb mingw-w64-i686-sqlite3 mingw-w64-i686-zlib mingw-w64-i686-gcc zip
+        ls
+

.github/workflows/msys-bash.py

@@ -0,0 +1,43 @@
+#!/usr/bin/python3
+
+# Copyright (C) 2019-2020  Patryk Obara <patryk.obara@gmail.com>
+# SPDX-License-Identifier: GPL-2.0-or-later
+
+# pylint: disable=invalid-name
+# pylint: disable=line-too-long
+
+r"""
+This is a wrapper for MSYS2 bash inside Windows GitHub CI environment.
+
+Usage:
+
+- name:  Step Name
+  shell: python scripts\msys-bash.py {0}
+  run:   echo "Hello"
+
+GitHub documentation for specifying shell is here: [1], although it
+leaves several VERY important details out:
+
+- The first parameter (program name) in template shell invocation needs to be
+  in PATH; absolute path will result in obscure C# exception.
+- Name of temporary script file ends with a hardcoded extension matching the
+  first parameter.
+- There is some additional undocumented trickery about expansion of {0} in
+  template (most probably it's something about formatting strings in C#).
+- For some shells, an additional first line is prepended to the temporary
+  script (but not for python!)
+
+[1] https://help.github.com/en/github/automating-your-workflow-with-github-actions/workflow-syntax-for-github-actions#using-a-specific-shell
+"""
+
+import shutil
+import subprocess
+import sys
+
+if __name__ == "__main__":
+    script_py = sys.argv[1]
+    script_sh = script_py + '.sh'
+    shutil.copy(script_py, script_sh)
+    bash = [r'C:\tools\msys64\usr\bin\bash', '-eo', 'pipefail', '-l']
+    rcode = subprocess.call(bash + [script_sh])
+    sys.exit(rcode)