First, @nmaier is completely correct in that the Ubuntu x86_64-w64-mingw32 toolchain is crippled, and that you can rebuild the toolchain yourself.
I, however, suggest that you use MXE, which saves you the time of manually compiling gcc and every dependency of it. The steps below should be enough for your purpose:
# Get MXE
git clone https://github.com/mxe/mxe.git && cd mxe
# Settings
cat <<EOF > settings.mk
MXE_TARGETS := x86_64-w64-mingw32.static
JOBS := 4
EOF
# Build gcc, libgomp, blas, and cblas. It will take a while
make -j2 libgomp cblas
# Add toolchain to PATH
# See http://htmlpreview.github.io/?https://github.com/mxe/mxe/blob/master/index.html#tutorial step 4
export PATH=`pwd`/usr/bin:$PATH
# You don't need -I./CBLAS/include ./CBLAS/cblas_WIN64.a ./BLAS/blas_WIN64.a
# because headers and libraries are installed to standard location and
# I already used `-lcblas -lblas`.
x86_64-w64-mingw32-g++ a.cpp b.cpp -fopenmp -O3 -o res.exe -lcblas -lblas -lgfortran -lquadmath