[An answer to my own question in the hope to help others experimenting the same problem]
I found the following hack to overcome the problem:
The name of the header file included at the top of the generated c file is defined in the variable COMPILER::*cmpinclude*. It is therefore possible to overwrite the variable and to include a different file. Using my own header file which first includes StdAfx.h and after the header defined by the original value of COMPILER::*cmpinclude* solves the problem...
Here in more detail:
--- RhinoLispPrologue.h ---
I then build the library with
(let ((COMPILER::*cmpinclude* "\"RhinoLispPrologue.h\""))
(asdf:make-build system ...)