I'm running cmake in msys2, but it doesn't seem to find Visual Studio 2015 (missing generator option). I am launching the msys2 prompt from within Visual Studio Developer Command Prompt, so I have cl.exe, link.exe etc in the path.
This other question seems to be asking the same thing (however for Cygwin not msys2).
Talked to the msys2 devs on IRC, turns out I needed to install package mingw-w64-x86_64-cmake instead of cmake. Using that fixed the problem.