Not sure why you think building cling itself with openmp would make it work, unless it is then build with the Clang it is being built/linked against.
I’m not familiar with Windows, but presume it has the same issue as would appear on Linux: the symbols missing are from Clang’s (Intel’s) OpenMP run-time, as that is what Cling (or LLVM, rather) generates code for. Any previously linked OpenMP run-time would be the system one (on Linux/gcc that would be gomp, for example), if the system compiler was used to build Cling.
So, get the OpenMP run-time for llvm (http://openmp.llvm.org/) and explicitly load libiomp5.so with the Windows equivalent of dlopen with RTLD_GLOBAL and you should be good to go. (There should be no problems unless Cling uses OpenMP internally, which AFAIK it doesn’t.)