I had the exact same issue. It appears the libugpio is missing in the onion/omega2-source image. The alternate link provided above (https://dev.openwrt.org/export/35269/packages/libs/libugpio/Makefile) no longer appears to be active. I did however manage to grab the Makefile from the OpenWrt_Packages repository which allowed for the example to compile finally.
In case it helps anyone, I've uploaded my pre-built omega2-source image with the libugpio library and compiled gpio example to Docker Hub here: