I have wanted a fully-functioning tool like delocate/auditwheel for Windows for a while, so I have developed one myself. It scans the wheel for DLL dependencies, figures out which dependencies are not provided by the Windows system, copies those DLLs into the wheel, mangles the DLL names, and patches __init__.py so that these DLLs are loaded at runtime.
Source: https://github.com/adang1345/delvewheel
Release: https://pypi.org/project/delvewheel/