The ebuild uses a plain-old-Makefile when building for mingw, which ignores CFLAGS/LDFLAGS entirely. This is especially annoying because GCC 4.8+ has a regression where libgcc_s_sjlj-1.dll is required for basically everything on MinGW32 unless -static-libgcc is passed in LDFLAGS.
Latest zlib-1.2.11-r3 should take care of that. Please re-open or file a new bug if you still experience the problem.