The problem with make -jn is (probably) because all targets depend on sdk target being already built.
This happened with wxWidgets, the setup_h target must be fully made before continuing:
mingw32-make -f makefile.gcc MONOLITHIC=1 SHARED=1 BUILD=release setup_h
mingw32-make -f makefile.gcc -j8 MONOLITHIC=1 SHARED=1 BUILD=release
I tracked down the "make -jxx"failure root case, which was caused by a missing ".exe" in following line in the src\build_tools\autorevision\Makefile.am file:
all-local: auto_revision.exe
I am working my way through the differences between the MSYS2 build I finally end up and the last nightly release and fixing the missing or additional files or if I cannot resolve the issue(s) then you may see posts or tickets or queries.