It's really difficult to get XS code right that does different things for different types of input; if I were you, I'd document that Math::GMPz->new takes a string of digits, and let the caller worry about anything beyond that.

Update: or provide a perl new_from_number that looks something like this:

use Config;
sub new_from_number {
   my $class = shift;
   my $num = shift;
   my $fmt = '%.0f';
   if (exists($Config{nv_preserves_uv_bits})
      && $Config{nv_preserves_uv_bits} < 8 * $Config{uvsize}
   ) {
      $fmt = $num < 0 ? '%d' : '%u';
   }
   $class->new(sprintf($fmt, $num));
}
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I'm probably forgetting something important there, though.

Update 2: yes, I was forgetting to revert to %.0f for numbers outside [IV_MIN, UV_MAX].