MWE for LAPACK building system in multiplatform

[massich]

I'm trying to build a helloWordl repo with the idea to use travis and appveyor to build against all the BLAS backends listed here, so that it can be used as a starting project. Just fork the repo, strip out everything you don't need.

I started with the MKL backend and as you can see for the appveyor trace it gets properly installed.

Installdir was defined as C:\Program Files (x86)\IntelSWTools
Space check passed: required 5.2GB, available  37GB
Product will be installed into 
    C:\\Program Files (x86)\\IntelSWTools
Intel(R) Math Kernel Library 2018 for Windows* installation was completed successfully.

However when calling cmake .. -DBLA_VENDOR=Intel -DBLAS_DIR="C:\Program Files (x86)\IntelSWTools\compilers_and_libraries_2018.0.124\windows\mkl\lib\intel64_win\" it seems to not find it. I'm using cmake-3.8.0-win32-x86 and here's the CMakeLists.txt:

cmake_minimum_required (VERSION 3.2)
project (CMakeHelloWorld)

#version number
set (CMakeHelloWorld_VERSION_MAJOR 1)
set (CMakeHelloWorld_VERSION_MINOR 0)

# Find the BLAS stuff
find_package(BLAS REQUIRED)
message(STATUS ${BLAS_LIBRARIES})

#include the subdirectory containing our libs
add_subdirectory (Hello)
include_directories(Hello)
#indicate the entry point for the executable
add_executable (CMakeHelloWorld Hello HelloWorld.cpp)

# Indicate which libraries to include during the link process.
target_link_libraries (CMakeHelloWorld Hello ${BLAS_LIBRARIES})

I can see that mkl is not found A required library with BLAS API not found. Please specify library but I can't find anything useful in CMakeChache.txt, CMakeOutput.log nor CMakeError.log

I tried to trace FindBLAS.cmake but I got no luck either. Any hints?