As of June 2021, this is only available as a work-in-progress pull request on GNOME msitools's GitLab.
(Done by @brendonj, who might be the same @brendonj as on Github.)
Here are my notes, so I don't forget how to build it. It would be really cool to migrate GNUstep's installers to MSI, and to build the Windows MinGW binaries as part of the release process.