Version 2.1.0 improved Cello can use native Win32 thread now (as the author claimed). This library sucks. It only works with MinGW64 i686-posix-dwarf 8.1.0 (the version I first tried) and none other version of even the same compiler (5.4.0, 6.3.0, 7.3.0 all failed). It seemed it only works fine with dwarf exception not sjlj. Despite compiled OK but when linking it's always show error (on CodeBlocks). I gave up on it and try c-vector on github (for MinGW). Very OK.
p/s: I didn't know Pelles C supports c11 threads.h, MinGW didn't so I think ...
Pelles' threads.h works great. Problem solved