Use correct case for source and include file names (I spotted including GPU_OSD.h in jni/desmume/src/android/main.cpp, but build fauled, so there may be another issues). Not every Linux user have FAT32 partition and I humbly suggest you to migrate to NTFS just in case.
All files have executable bit set. You are not using Cygwin Git client and missed necessary option during installation. See this article for more details.