Sorry for the the loose description, but the real problem is still unclear, but
the resulting problem can be seen in issue 43225.

With the following attached files the problem can be reproduced like this:

First the failing example. (Cygwin perl calls dmake calls nmake.)
[4nt-shell]perl syscall.pl
echo C:\4NT401\4NT.EXE here
C:\4NT401\4NT.EXE here
set OS=egal && set GUI=gui && nmake  /f f.mk
(nmake disclaimer removed)
        echo %OS% %GUI
egal gui
        echo WNT gui
WNT gui


Now the prove that it works when dmake is called directly and calls nmake:

[4nt-shell]dmake
echo C:\4NT401\4NT.EXE here
C:\4NT401\4NT.EXE here
set OS=egal && set GUI=gui && nmake  /f f.mk
(nmake disclaimer removed)
        echo %OS% %GUI
egal gui
        echo egal gui
egal gui


It seems the problem does not arise for all variables, but at least OS and PWD
(see tg_ext.mk" line 112) seem to be affected.