On first glance, it seems that this smoker is using Make as their make tool.

I had no idea that such a make tool even existed ... and it comes as a further surprise that someone would opt to use it.

These days, most CPAN distros place all of the '.pm' files under a top level 'lib' directory, but not Math::GMPz.
I speculated that Make.pm might be incapable of handling that older style arrangement, so I ran cpan -i Make and tested it.
Make.pm does the job with Math-GMPz-0.49 just fine for me on MS Windows - so I'm thinking that the problem lies with the Makefile that's generated on the OpenBSD system.
(I guess it could still be the file structure of the Math-GMPz source that's tripping up this OpenBSD system.)

Thanks for the pointer !!

Cheers,
Rob