Ah, OK. My apologies for the confusion.
Some of your other problems:
Note that INCLUDE and LIB are part of your build environment and are supposed to be set by the vsvars.bat script or whatever equivalent you create for yourself in Cygwin.
One reliable way to get this is to download the Python source and build it yourself. But note that you don’t actually need to build a debug build if all you want is debug symbols; debug symbols are in fact provided in an OPTIMIZE 3 build. It’s a release build with debug symbols; that’s not a contradiction.
On Windows, you need to set the PATH variable instead of LD_LIBRARY_PATH.
This sounds like a bug in the ppremake scripts. Probably the ppremake build system has never been tested with OpenAL.
Is the only difference between these two the use of GL_APIENTRYP instead of APIENTRYP? Do those two symbols have different definitions? Strange. Well, you can comment out the one in Panda to allow the one in your gles headers to win.
David