Mingw lacks some SIG*.  Taken from

    wget https://raw.githubusercontent.com/Alexpux/MINGW-packages/master/mingw-w64-readline/readline-6.3-mingw.patch

some updates to make it apply.

Upstream status: Not presented to upstream.

--- colors.c~	2013-03-20 11:19:08.000000000 -0400
+++ colors.c	2015-07-20 12:44:31.821014500 -0400
@@ -37,6 +37,10 @@
 #include "posixstat.h" // stat related macros (S_ISREG, ...)
 #include <fcntl.h> // S_ISUID
 
+#ifndef S_ISDIR
+#define	S_ISDIR(m)	(((m) & S_IFMT) == S_IFDIR)
+#endif
+
 // strlen()
 #if defined (HAVE_STRING_H)
 #  include <string.h>
@@ -151,12 +155,17 @@
       if (S_ISREG (mode))
         {
           colored_filetype = C_FILE;
-
+#ifdef S_ISUID
           if ((mode & S_ISUID) != 0 && is_colored (C_SETUID))
             colored_filetype = C_SETUID;
-          else if ((mode & S_ISGID) != 0 && is_colored (C_SETGID))
+		else
+#endif
+#ifdef S_ISGID
+          if ((mode & S_ISGID) != 0 && is_colored (C_SETGID))
             colored_filetype = C_SETGID;
-          else if (is_colored (C_CAP) && 0) //f->has_capability)
+          else
+#endif
+		  if (is_colored (C_CAP) && 0) //f->has_capability)
             colored_filetype = C_CAP;
           else if ((mode & S_IXUGO) != 0 && is_colored (C_EXEC))
             colored_filetype = C_EXEC;
@@ -180,15 +189,19 @@
             colored_filetype = C_STICKY;
 #endif
         }
+	#ifdef S_ISLNK
       else if (S_ISLNK (mode))
         colored_filetype = ((linkok == 0
                  && (!strncmp (_rl_color_indicator[C_LINK].string, "target", 6)
                      || _rl_color_indicator[C_ORPHAN].string))
                 ? C_ORPHAN : C_LINK);
+	#endif
       else if (S_ISFIFO (mode))
         colored_filetype = C_FIFO;
+	#ifdef S_ISSOCK
       else if (S_ISSOCK (mode))
         colored_filetype = C_SOCK;
+#endif
       else if (S_ISBLK (mode))
         colored_filetype = C_BLK;
       else if (S_ISCHR (mode))
--- signals.c~	2014-01-10 15:06:48.000000000 -0500
+++ signals.c	2015-07-20 12:33:07.437472100 -0400
@@ -216,7 +216,9 @@
       /* FALLTHROUGH */
 
     case SIGTERM:
+#if defined (SIGHUP)
     case SIGHUP:
+#endif
 #if defined (SIGTSTP)
     case SIGTSTP:
     case SIGTTOU:
@@ -397,7 +399,9 @@
 
       sigaddset (&bset, SIGINT);
       sigaddset (&bset, SIGTERM);
+#ifdef SIGHUP
       sigaddset (&bset, SIGHUP);
+#endif
 #if defined (SIGQUIT)
       sigaddset (&bset, SIGQUIT);
 #endif
@@ -426,7 +430,9 @@
 
       rl_maybe_set_sighandler (SIGINT, rl_signal_handler, &old_int);
       rl_maybe_set_sighandler (SIGTERM, rl_signal_handler, &old_term);
+#ifdef SIGHUP
       rl_maybe_set_sighandler (SIGHUP, rl_signal_handler, &old_hup);
+#endif
 #if defined (SIGQUIT)
       rl_maybe_set_sighandler (SIGQUIT, rl_signal_handler, &old_quit);
 #endif
@@ -491,7 +497,9 @@
 	 overhead */
       rl_maybe_restore_sighandler (SIGINT, &old_int);
       rl_maybe_restore_sighandler (SIGTERM, &old_term);
+#ifdef SIGHUP
       rl_maybe_restore_sighandler (SIGHUP, &old_hup);
+#endif
 #if defined (SIGQUIT)
       rl_maybe_restore_sighandler (SIGQUIT, &old_quit);
 #endif
--- input.c~	1970-01-01 01:00:00.000000000 +0100
+++ input.c	2016-04-01 20:13:24.293063372 +0200
@@ -532,11 +532,18 @@
 	 Otherwise (not EINTR), some error occurred, also signifying EOF. */
       if (errno != EINTR)
 	return (RL_ISSTATE (RL_STATE_READCMD) ? READERR : EOF);
-      else if (_rl_caught_signal == SIGHUP || _rl_caught_signal == SIGTERM)
+      else if (
+#ifdef SIGHUP
+	  _rl_caught_signal == SIGHUP ||
+#endif
+	  _rl_caught_signal == SIGTERM)
 	return (RL_ISSTATE (RL_STATE_READCMD) ? READERR : EOF);
-      else if (_rl_caught_signal == SIGINT || _rl_caught_signal == SIGQUIT)
+      else if (_rl_caught_signal == SIGINT
+#ifdef SIGQUIT
+	  || _rl_caught_signal == SIGQUIT
+#endif
+	  )
         RL_CHECK_SIGNALS ();
-
       if (rl_signal_event_hook)
 	(*rl_signal_event_hook) ();
     }