I have a change to LLD to make it generate delay-load imports for GNU-style import libraries, but it's kind of a mess. If you want, I can show it to you.
Oh, I considered trying to do that at some point a few years ago, but decided not to, because I was afraid that it would be quite messy, yeah...
I think it's possible to mix GNU-style import libs and MSVC-style import libs
LLD can handle both types mixed (except for delay loaded stuff), GNU ld can handle both types too (but it has had some amount of occasional bugs with MSVC style libs; some were fixed recently in git, past the 2.39 branch too), but GNU ld probably can't do delay loads with MSVC style import libs either.