Can you actually do cross compilation (on Linux host to win64 binary) with clang in the same way as MingW does out of the box though?

No. You cannot even do direct compilation on the same host and target with clang only.

LLVM doesn't come with the C library headers (VCRuntime) or the executable runtime startup code (VCStartup).Both of which are under Visual Studio proprietary licenses. So to use Clang on Windows without Mingw, you need Visual Studio.