Hmm, do you have this problem when compiling a 'native' app ? That is one for Linux, 64bit ?
Please go to Lazarus Tools->Options->Environment->Files
That has a field, "FPC Source Directory", in your case it should be, perhaps "/usr/share/fpcsrc/3.2.0" - please confirm that.
When you were doing your setup earlier, you did run "sudo make all OS_TARGET=win64 CPU_TARGET=x86_64" didn't you ? I ask because the instructions on
https://wiki.freepascal.org/Cross_compiling_for_Win32_under_Linux look a bit disjointed I must admit. I use use my own notes that are specific to my install.
I have just built a suse Leap 15.3 VM as part of my test process for my app, I think I have better do what you are trying there and document it from scratch.
I'd assume FPC and Lazarus from sourceforge, as RPMs in this case and you wan to end up making windows binaries. In the past, I have always found this easy, the hard part is getting the 64->32bit stuff !
Davo