SDL found with PkgConfig and MSVC (does not compile) - c++

Question

I am trying to set up a cross platform project.
In Windows I have installed package SDL2 with MSYS2 for x86 and x64.
In my CMakeLists.txt I have:
find_package(PkgConfig REQUIRED)
pkg_search_module(SDL2
REQUIRED sdl2 sdl
IMPORTED_TARGET)
if(TARGET PkgConfig::SDL2)
message(STATUS "Found SDL2")
endif()
Package seems to be found both for MinGW and MSVC.
Simple program compiles with MinGW
#include <SDL/SDL.h>
#undef main
int main()
{
return 0;
}
However with MSVC SDL header can't be found and the program does not compile.
C:\dev\repos\UWCASdk\Sandbox\JoySDL\joyTest.cpp(2): fatal error C1083: Cannot open include file: 'SDL/SDL.h': No such file or directory
NMAKE : fatal error U1077: 'C:\PROGRA~2\MICROS~1\2019\COMMUN~1\VC\Tools\MSVC\1426~1.288\bin\Hostx86\x64\cl.exe' : return code '0x2'
Stop.
NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\VC\Tools\MSVC\14.26.28801\bin\HostX86\x64\nmake.exe"' : return code '0x2'
Stop.
NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\VC\Tools\MSVC\14.26.28801\bin\HostX86\x64\nmake.exe"' : return code '0x2'
Stop.
NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\VC\Tools\MSVC\14.26.28801\bin\HostX86\x64\nmake.exe"' : return code '0x2'
Stop.
Is it not possible to use PkgConfig with MSVC? Or should I use another package manager?