For the pacman -S mingw-w64-x86_64-pkg-config mingw-w64-x86_64-SDL2 mingw-w64-x86_64-SDL2_image mingw-w64-x86_64-SDL2_ttf step:
If you see a package signing error, run pacman -Sy msys2-keyring.
For the stack build --local-bin-path . --copy-bins step:
If you see a SDL2 build error about undefined reference to __stack_chk_guard use the temporary workaround in haskell-game/sdl2#277 (comment).