The only why I got it working was build and flashing the esp-idf hello_main example for ESP32S2 and then:

$ esp32s2openocd -c "set ESP_RTOS none" -f esp32s2_saola.cfg -c "init; halt"
Open On-Chip Debugger v0.10.0-esp32-20210401-13-g5d011fa5 (2021-05-12-12:41)
Licensed under GNU GPL v2
For bug reports, read
http://openocd.org/doc/doxygen/bugs.html
none
adapter speed: 3000 kHz

Info : clock speed 3000 kHz
Info : JTAG tap: esp32s2.cpu tap/device found: 0x120034e5 (mfg: 0x272 (Tensilica), part: 0x2003, ver: 0x1)
Info : esp32s2: Debug controller was reset.
Info : esp32s2: Core was reset.
Info : Listening on port 3333 for gdb connections
Info : esp32s2: Target halted, PC=0x400902BE, debug_reason=00000000
Info : Detected ESP32-S2 chip
Info : esp32s2: Target halted, PC=0x40031CAA, debug_reason=00000001
Info : Flash mapping 0: 0x10020 -> 0x3f000020, 23 KB
Info : Flash mapping 1: 0x20020 -> 0x40080020, 66 KB
Info : Using flash bank 'esp32s2.irom' size 68 KB
Info : esp32s2: Target halted, PC=0x40031CAA, debug_reason=00000001
Info : Flash mapping 0: 0x10020 -> 0x3f000020, 23 KB
Info : Flash mapping 1: 0x20020 -> 0x40080020, 66 KB
Info : Using flash bank 'esp32s2.irom' size 68 KB
Info : esp32s2: Target halted, PC=0x40031CAA, debug_reason=00000001
Info : Flash mapping 0: 0x10020 -> 0x3f000020, 23 KB
Info : Flash mapping 1: 0x20020 -> 0x40080020, 66 KB
Info : Using flash bank 'esp32s2.drom' size 24 KB
Info : esp32s2: Target halted, PC=0x40031CAA, debug_reason=00000001
Info : Flash mapping 0: 0x10020 -> 0x3f000020, 23 KB
Info : Flash mapping 1: 0x20020 -> 0x40080020, 66 KB
Info : Using flash bank 'esp32s2.drom' size 24 KB
Info : Listening on port 6666 for tcl connections
Info : Listening on port 4444 for telnet connections

In the second terminal:

$ xtensa-esp32s2-elf-gdb nuttx
GNU gdb (crosstool-NG esp-2020r3) 8.1.0.20180627-git
Copyright (C) 2018 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later http://gnu.org/licenses/gpl.html
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law. Type "show copying"
and "show warranty" for details.
This GDB was configured as "--host=x86_64-build_pc-linux-gnu --target=xtensa-esp32s2-elf".
Type "show configuration" for configuration details.
For bug reporting instructions, please see:
http://www.gnu.org/software/gdb/bugs/.
Find the GDB manual and other documentation resources online at:
http://www.gnu.org/software/gdb/documentation/.
For help, type "help".
Type "apropos word" to search for commands related to "word"…
Reading symbols from nuttx…done.
(gdb) target extended-remote :3333
Remote debugging using :3333
0x400902be in ?? ()
(gdb) mon reset halt
JTAG tap: esp32s2.cpu tap/device found: 0x120034e5 (mfg: 0x272 (Tensilica), part: 0x2003, ver: 0x1)
esp32s2: Debug controller was reset.
esp32s2: Core was reset.
esp32s2: Target halted, PC=0x4000FCD5, debug_reason=00000000
esp32s2: Core was reset.
esp32s2: Target halted, PC=0x40000400, debug_reason=00000000
(gdb) flushregs
Register cache flushed.
(gdb) b nx_start
Breakpoint 1 at 0x40080b80: file init/nx_start.c, line 353.
(gdb) c
Continuing.
Note: automatically using hardware breakpoints for read-only addresses.
esp32s2: Target halted, PC=0x40080B80, debug_reason=00000001

Breakpoint 1, nx_start () at init/nx_start.c:353
353 {
(gdb)