Documentation doesn't have instructions how to use yocto to build a Windows toolchain.

To build Windows version of meta-toolchain-b2qt-embedded-qt5-sdk toolchain, you need to use extra environment variable SDKMACHINE=i686-mingw32.
The resulting .7z file in tmp/deploy/sdk/ contains the toolchain, which then can be extracted in Windows.

Manual patch after extracting to toolchain on Windows:
qt.conf file used by qmake in Windows yocto SDK needs to be patched when the toolchain is manually built.

By default, qt.conf has paths that point to the default (linux) installation path (/opt/b2qt/x.x.x/), which need to be changed to point to the actual location in Windows using forward slash as path separator (C:/Qt/Boot2Qt/device/toolchain/)