Do you have SDL installed? if yes, are you sure that /usr/local/bin in your
$PATH?
Also,
games/pingus is already in the -CURRENT ports tree... so it might be easier to utilize that, albeit in an unsupported manner.
Scons appears to be looking in /opt for some reason, that directory doesn't typically exist on OpenBSD..
Clearly you're having an unusually difficult time getting familiar with OpenBSD.