Well, this configuration worked for me:
cmd_obj: x86_64-w64-mingw32-gfortran -cpp -march=native -O3 -c -fno-range-check -ffixed-line-length-132 -finit-real=nan -frecord-marker=4 -DHAVE_MPI -DHAVE_MUMPS <mods> <incs> <f95name>
cmd_exe: x86_64-w64-mingw32-gfortran -static -march=native -O3 -fno-range-check -ffixed-line-length-132 -finit-real=nan -frecord-marker=4 -v -o <exename> <objs> -Xlinker --start-group <libs>
So I guess -fopenmp is not needed and adding -finit-real=nan didn't do any harm although I tried to add it the first time and it didn't help.
Removing -fconvert=big-endian probably was a move in the right direction since according to your configurations, it was wrong adding it for Windows.
Thank you for your help!
PS. If you need help with MUMPS in Windows, I've just finished doing it all over again...