Once I suggested to buy a Windows license but not only for nightly builds but rather for developing Geany on and for Windows. But there was not much accordance.
Then you still need a VM just for Windows builds.
No idea about AppVeyor. It would be one more external service we make us dependent on (next to TravisCi and especially GitHub). Nightly builds/CI is nothing critical and so instantaneous unavailability of their service won't kill the Geany project but still we put more data into other, foreign companies and rely on their goodwill.
Anyway, I don't mean to block this. Just don't volunteer for either of these solutions.