Emacs gives a error about not finding a GPG key.

The Error

Failed to verify signature archive-contents.sig:
No public key for 066DAFCB81E42C40 created at 2020-08-22T21:05:02+0000 using RSA
Command output:
gpg: keyblock resource '/e/z_gis/gulfmx/c:/Users/jake9/msys64/home/jake9/.emacs.d/elpa/gnupg/pubring.kbx': No such file or directory
gpg: Signature made Sat, 22 Aug, 2020 21:05:02 CUT
gpg:                using RSA key C433554766D3DDC64221BFAA066DAFCB81E42C40
gpg: Can't check signature: No public key

Weird Path

What is really weird is the keybox path given:

• /e/z_gis/gulfmx/c:/Users/jake9/msys64/home/jake9/.emacs.d/elpa/gnupg/pubring.kbx

The first part is what ever working directory I was in when Emacs launched:

• /e/z_gis/gulfmx/

My Setup

• OS: Win10
• msys2 / mingw64
• Emacs 27.1

gnu-elpa-keyring-update version 2019.3 is installed.