And the solution

Makefile

@@ -4,8 +4,8 @@ OCAMLOPT_FLAGS:=-output-complete-obj
 
 .PHONY: ocaml
 ocaml:
-	dune build ocaml/hello.a
-	cp _build/default/ocaml/hello.a $(BUILD)/libfoo.a
+	dune build --verbose ocaml/hello.exe.o
+	ar -rs $(BUILD)/libfoo.a _build/default/ocaml/hello.exe.o
 
 ocaml-manual:
 	mkdir -p $(BUILD)

ocaml/dune

@@ -1,2 +1,3 @@
-(library
-	(name hello))
+(executable
+	(name hello)
+    (modes object))

ocaml/hello.ml

@@ -2,3 +2,4 @@ let hello () = "hello"
 
 let () =
   Callback.register "Hello callback" hello;
+  Callback.register "Bye callback" Bye.bye;