0. Another computer or virtual machine shall be used to avoid breaking existing JTSDK2, installation to disk C:, at least 25GB disk space required, SSD is preffered as HDD runs too slow.
Download and install JTSDK3 as per instructions from this link: https://sourceforge.net/projects/jtsdk/files/win64/3.1.0/
Use option 'd' (default) for Qt installation there.
 

1. In folder C:\JTSDK64-Tools\tools\Qt run MaintenanceTool.exe
   Select display 'latest releases' and in the provided list select Mingw73_64 for Qt 5.14.0 and deselect Qt 5.12.4, do not change settings for 'developer and designer tools'. Install Qt 5.14.0.

2. Download CMake v3.16.2 from https://github.com/Kitware/CMake/releases/download/v3.16.2/cmake-3.16.2-win64-x64.zip
   Unzip it, rename cmake folder (for instance to _cmake) in C:\JTSDK64-Tools\tools and copy unzipped 4 folders into C:\JTSDK64-Tools\tools\cmake\3.16.2 folder

3. Copy in C:\JTSDK64-Tools modified files jtsdk.cmd, jtsdk-setup.cmd and jtbuild.com

4. Rename in C:\JTSDK64-Tools\config empty file qt5.12.4 to qt5.14.0

5. Copy in C:\JTSDK64-Tools\config empty files: autorun, clean, hlclean, reconfigure, separate

6. Copy in C:\JTSDK64-Tools\tools\scripts modified file setqtver.cmd

7. Copy in C:\JTSDK64-Tools\tools\msys64\home\[account name]\bin modified file build-hamlib.sh

8. Copy in C:\JTSDK64-Tools\tools\msys64\home\[account name]\src\hamlib src folder with modified Hamlib source code as of 20200114(do not use previous versions)

9. Start JTSDK64-Tools from Start->Program Files, start msys2 and build Hamlib via number 5 selection in menu

10. Exit msys2 and qtpy(JTSDK64-Tools)

11. Start JTSDK64-Tools, and run jtbuild.cmd once

12. Copy JTDX source code (wsjtx folder) in C:\JTSDK64-Tools\tmp

13. Run from qtpy(JTSDK64-Tools) command 'jtbuild rinstall'

Most likely it will failed with multiple libusb errors like this one:
[100%] Linking CXX executable jtdx.exe
C:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/lib/libhamlib.a(si570avrusb.o):(.text$si570xxxusb_set_freq+0x1c9): undefined reference to `libusb_control_transfer'

This error is caused by failure to load CMAKE_TOOLCHAIN_FILE(QT5140.cmake) where required SW/library links being defined.

Then,

14. Copy libusb-1.0 folder from the my pack of files into C:\JTSDK64-Tools\tools\hamlib\qt\5.14.0\include folder
    and libusb-1.0.a file(static library) into C:\JTSDK64-Tools\tools\hamlib\qt\5.14.0\lib folder

15. Find CMakeCache.txt file in C:\JTSDK64-Tools\tmp\wsjtx-output\qt\5.14.0\2.1.0\Release\build folder and edit this 7 lines in file as below:

    FIND_PACKAGE_MESSAGE_DETAILS_hamlib:INTERNAL=[C:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/include;C:/JTSDK64-Tools/tools/libusb/1.0.22/include][-LC:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/lib;-lhamlib;-lusb-1.0;-lws2_32][C:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/lib][v(3)]

    PC_HAMLIB_CFLAGS:INTERNAL=-IC:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/include;-IC:/JTSDK64-Tools/tools/libusb/1.0.22/include

    PC_HAMLIB_INCLUDE_DIRS:INTERNAL=C:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/include;C:/JTSDK64-Tools/tools/libusb/1.0.22/include

    PC_HAMLIB_STATIC_CFLAGS:INTERNAL=-IC:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/include;-IC:/JTSDK64-Tools/tools/libusb/1.0.22/include

    PC_HAMLIB_STATIC_INCLUDE_DIRS:INTERNAL=C:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/include;C:/JTSDK64-Tools/tools/libusb/1.0.22/include

    PC_HAMLIB_STATIC_LDFLAGS:INTERNAL=-LC:/JTSDK64-Tools/tools/hamlib/qt/5.14.0/lib;-lhamlib;-lusb-1.0;-lws2_32

    PC_HAMLIB_STATIC_LIBRARIES:INTERNAL=hamlib;libusb-1.0;ws2_32

save changes, restart JTSDK64-Tools CLI and execute command 'jtbuild rinstall'.

16. Restart JTSDK64-Tools, use 'jtbuild package' command to build package

One can find built install/package files in C:\JTSDK64-Tools\tmp\wsjtx-output\qt\5.14.0\2.1.0\Release folder.