This is usually an error in the configuration file. Usually it means that you have selected the wrong toolchain in the configuration. I assume that you are using Cywin? Or maybe MSYS2? If you are trying to use a Native MinGW + GNUWin32 build then you will probably find a lot of issues. Let's assume Cygwin or MSYS -- and GCC.
GCC finds inclulde file using a command line option like: -I <file-path>. The form of the file path will depend on the tools that you have selected in the configuration file. If you have selected a POSIX tool (like a Linux or native Cygwin or MSYS2), then the correct form of the include patch expected by GCC would be something like: /home/me/projects/nuttx/include
But a Windows tool would not know what to do with that include path. If you provided -I /home/me/projects/nuttx/include on the GCC command line, you would see exactly the error you are seeing.
Similarly, if you are using a Windows toolchain then it would explect a file path like C:\Cygwin64\home\me\projects\nuttx\include and it it were to receive the POSIX style path, it would fail with the same error.
You should first find out what command line parameters were given to GCC. You can do with make V=1. That will should the command like and you can check all of the GCC arguments
Cygwin symbolic links can also cause this error. If claim this is POSIX/Linux tool, it will use symbolic links. However, a Windows toolchain will be unable to follow the fake symbolic links used by Cygwin and it may fail in the same way while trying to include a file.