This is not really a Code::Blocks-related question.
At any rate, no, I have never used OpenSG with MinGW (not having heard of OpenSG until today). Since the OpenSG documentation makes no mention of MinGW, it's almost certain that OpenSG won't work with MinGW. Apparently, Cygwin is actually required when doing the MSVC-based build; I presume that one could manage a Cygwin-only build by mostly following the instructions for a Linux build.