I try to build Boost on MSYS2-64Bit which includes 64-Bit headers of
windows. Boost is calling a 32-Bit variant of windows API even when
Boost is configured to build 64-Bit.

What do you mean by "64-Bits headers"? How are the headers different? What error are you getting?

For the record I build on windows using MYS2 64bit all the time with no problems.

-- chris