Using the triplet thumbv7-w64-mingw32 and (e.g.) -Wl,--subsystem,efi_boot_service_driver you can create EFI images for 32-bit ARM, but these don't load without a bit of tweaking. EFI is expecting an image type of IMAGE_FILE_MACHINE_ARMTHUMB_MIXED (0x1c2), but lld is outputting IMAGE_FILE_MACHINE_ARMNT, 0x1c4, which I believe is what 32-bit ARM Windows uses. See also the gnu-efi linker script for this: https://github.com/rhboot/gnu-efi/blob/master/gnuefi/crt0-efi-arm.S
If lld gets passed a subsystem which begins with "efi_", it should be outputting a machine type of 0x1c2 rather than 0x1c4.