adwaita is the default theme on gtk3 (on every platform), and that's used on the msys2 builds.
According to https://stackoverflow.com/a/37060369 win32 is built into gtk3 but needs to be activated with settings.ini. The stackoverflow discussion also has some (not so pretty) screenshots. I'll try myself with Geany once I have some time again.
Another idea in that discussion is to disable CSD to get native decorations.