C# call C++ DLL, how to debug access violation? Fully worked on ubuntu, but not windows

I had C++ code compiled into DLL on ubuntu. Then, I called it with C# on Ubuntu too. All worked superb. Then, same C++ DLL, I cross-compiled for windows using MSYS2/MING64

Now, everytime I use same C# code to call it, I get:

The program '[1140] Textpr.exe' has exited with code -1073741819 (0xc0000005) 'Access violation'.

And this drives me mad. I have no stack trace, noting, my test console C# app simply exists. The code worked on Ubutu just fine, could it be so that something additional is needed for Windows, like different Marshalling rules or anything like that? How to debug that? I can't have dll debug symbols, as mingw can't build them for windows. Any other ideas?