On OS X (with MacPorts) the following happens:
===
DEBUG: Environment: 
CC='/usr/bin/clang'
CC_PRINT_OPTIONS='YES'
CC_PRINT_OPTIONS_FILE='/opt/local/var/macports/build/_Users_jwa_work_macports-trunk_dports_python_py-gdbm/py35-gdbm/work/.CC_PRINT_OPTIONS'
CFLAGS='-arch x86_64'
CPATH='/opt/local/include'
CXX='/usr/bin/clang++'
CXXFLAGS='-arch x86_64'
F90FLAGS='-m64'
FCFLAGS='-m64'
FFLAGS='-m64'
LDFLAGS='-arch x86_64'
LIBRARY_PATH='/opt/local/lib'
MACOSX_DEPLOYMENT_TARGET='10.10'
OBJC='/usr/bin/clang'
OBJCFLAGS='-arch x86_64'
DEBUG: Assembled command: 'cd "/opt/local/var/macports/build/_Users_jwa_work_macports-trunk_dports_python_py-gdbm/py35-gdbm/work/Python-3.5.0b1/Modules" && /opt/local/Library/Frameworks/Python.framework/Versions/3.5/bin/python3.5 setup.py --no-user-cfg build'
DEBUG: Executing command line:  cd "/opt/local/var/macports/build/_Users_jwa_work_macports-trunk_dports_python_py-gdbm/py35-gdbm/work/Python-3.5.0b1/Modules" && /opt/local/Library/Frameworks/Python.framework/Versions/3.5/bin/python3.5 setup.py --no-user-cfg build 
running build
running build_ext
building '_gdbm' extension
creating build
creating build/temp.macosx-10.10-x86_64-3.5
/usr/bin/clang -DNDEBUG -g -fwrapv -O3 -Wall -Wstrict-prototypes -arch x86_64 -I/opt/local/include -I/opt/local/Library/Frameworks/Python.framework/Versions/3.5/include/python3.5m -c _gdbmmodule.c -o build/temp.macosx-10.10-x86_64-3.5/_gdbmmodule.o
_gdbmmodule.c:45:10: fatal error: 'clinic/_gdbmmodule.c.h' file not found
#include "clinic/_gdbmmodule.c.h"
         ^
1 error generated.
error: command '/usr/bin/clang' failed with exit status 1
===

This worked ok in a3… (not in a4 anymore)

The problem you are seeing is due to MacPort's non-standard method of building the gdbm module separately in a stand-alone build instead of during the normal building of the complete Python standard library.  As of 3.5.0a4 with 49910ff21ba5 for Issue20184, Modules/_gdbmmodule.c was converted to use the Argument Clinic DSL feature (PEP 436).  For each converted .c module in Modules, Argument Clinic creates a corresponding new header file in the clinic subdirectory, in this case, Modules/clinic/_gdbmmodule.c.h.  I believe you will need to modify the py3x-gdbm portfiles to also extract the contents of Modules/clinic into the build source directory.  Note, you may need to do this for any other similar portfiles.

Thanks for the quick follow-up! I'll get the work done at our end:)