Thanks a lot for the tip.

I don't know what was wrong with MSYS2 version of hunspell, but this one
works with the following minimal configuration:

(setq ispell-program-name (executable-find "hunspell"))
(setq ispell-local-dictionary "en_US")
(setq ispell-local-dictionary-alist '(("en_US"
                                       "[[:alpha:]]"
                                       "[^[:alpha:]]"
                                       "[']"
                                       nil
                                       nil
                                       nil
                                       utf-8)))


Nevertheless, I can still see

ispell-phaf: No matching entry for nil


So it still tries to call `ispell-parse-hunspell-affix-file' with `nil' for
the first time, and only then calls it with "en_US" in my case.

Secondly, I think that relying on "hunspell -D" so stubbornly that
`ispell-parse-hunspell-affix-file' blocks all further usage of ispell.el
with hunspell if `ispell-hunspell-dict-paths-alist' is just dumb. Here are
a few reasons:

   1. Not all distributions of hunspell even supply "share/hunspell/*"
   stuff with them;
   2. Some users don't use dictionaries from "share/hunspell/*" because
   they might get either more updated dictionaries themselves and/or already
   have customized personal dictionaries.

For instance, #2 is exactly what I was planning to do:

  (let ((dictionaries-dir (expand-file-name "dictionaries"
                                            user-emacs-directory)))
    (make-directory dictionaries-dir t)
    (setq ispell-local-dictionary "en_US")
    (setq ispell-local-dictionary-alist '((nil
                                           "[[:alpha:]]"
                                           "[^[:alpha:]]"
                                           "[']"
                                           nil
                                           ("-d" "en_US"
                                            "-p" dictionaries-dir)
                                           nil
                                           utf-8)
                                          ("en_US"
                                           "[[:alpha:]]"
                                           "[^[:alpha:]]"
                                           "[']"
                                           nil
                                           ("-d" "en_US"
                                            "-p" dictionaries-dir)
                                           nil
                                           utf-8)
                                          ("german"
                                           "[[:alpha:]]"
                                           "[^[:alpha:]]"
                                           "[']"
                                           t
                                           ("-d" "de_DE_frami"
                                            "-p" dictionaries-dir)
                                           "~tex"
                                           utf-8)
                                          ("russian"
                                           "[[:alpha:]]"
                                           "[^[:alpha:]]"
                                           "[']"
                                           nil
                                           ("-d" "ru_RU"
                                            "-p" dictionaries-dir)
                                           nil
                                           utf-8)))))


and in this case I obviously don't care at all whether hunspell has
anything in "share/hunspell/*" or not. So why would I be forcefully blocked
to use it with some weird error from `ispell-parse-hunspell-affix-file'?

How about redesign?