This is one method to create the base package required to bootstrap an msys2 environment. I'm not sure if it's the official way.
Note: You'll have to run this from an existing msys2 installation.
mkdir -p msys64/var/lib/pacman
pacman -r msys64 -Sy base
XZ_OPT=-9 tar cJf base.tar.xz msys64
# Distribute at will