It doesn't matter whether the language has support - what matters is the compiler (unless you're using a WORA language like Java). To answer your question, it is possible to build a cross compiler on Linux to target the Windows platform. SDL, wxWidgets, and GTK all have Windows versions to my knowledge, but you have to compile them with a compiler targeting Windows to be able to get object code that can run.
Cross compiling is very messy because you need to have one copy of a library of each architecture and platform that you want to target, and they all have to be installed in different places, so you need to play with linker flags a lot.
Here's a blog post explaining how to get a GCC distribution for Linux targeting Windows. And regarding Haskell and OCaml, sadly I'm not knowledgable in these areas, but the general case will hold true.