Hmm, how about this:

(make-foreign-error
  'set 'windows
  'number 2
  'name 'ERROR_FILE_NOT_FOUND
  'message "File not found"
  'errno-name 'ENOENT)  ; <---------

The 'errno-name property could be a generic one for mapping the native
errors from various systems into equivalent errnos, on a close-enough
basis. For example, any kind of "file not found" error could be mapped
to 'ENOENT.

Using ('set 'errno 'name ENOENT 'number 2) is a bit deceptive when we
know the error is from the Windows API and know the GetLastError() code.
We should return the native Windows code instead. But if we add an extra
'errno-name that should give the best of both worlds.

Perhaps 'errno-equivalent, 'errno-equiv or a simple 'errno as Harold
suggested would be a better name for the property. Users who care about
portable code would be writing code like this:

(define (read-symlink-if-exists path)
   (guard (err ((and (foreign-status? err)
                     (eq? 'ENOENT (foreign-status-ref err 'errno)))
                #f))
     (read-symlink path)))

That doesn't look bad to me, especially given that Windows could be
supported with the same code while preserving native WinAPI error
information.