If you seriously want to work with gdb, also have --disable-strip-dist-files as configure option. However, in that case chances are that you cannot build an .exe installer anymore as it becomes too big for NSIS (that has a 2 GB installer file size limit) so instead of "make nsis-installer" you'll need to invoke
make zip-dist <options>
....and this results in all Octave dependencies being built in mxe-octave, plus
some initial version of Octave itself.
It can happen that you meet problems with Java. To build Octave with Java support built-in, mxe-octave needs: