AFAIK, with NIOS2-nommu, you can use C++ but you can't use shared libraries (what you seemingly want to do as your "dll" naming suggests). Before trying to port an application you should first try to compile and run a simple "hallo world" c++ program .
With NIOS2-mmu you can use shared libraries.
While I did not yet try c++ and did not try to create a shared library or a program that uses one, I did try to do threads via the pthread library.
With NIOS2-nommu this does work, but the debugger does not support threads. Moreover the compiler does not support the "__thread" keywords (static thread specific varibles). Both issues hould be solved with the NIOS2-mmu distribution.
-Michael