Delphi ships with Indy installed, and Indy has a TIdHMACSHA256 class:

uses
  IdGlobal, IdHashSHA, IdHMAC, IdHMACSHA1, IdSSLOpenSSL;

function CalculateHMACSHA256(const value, salt: String): String;
var
  hmac: TIdHMACSHA256;
  hash: TIdBytes;
begin
  LoadOpenSSLLibrary;
  if not TIdHashSHA256.IsAvailable then
    raise Exception.Create('SHA256 hashing is not available!');
  hmac := TIdHMACSHA256.Create;
  try
    hmac.Key := IndyTextEncoding_UTF8.GetBytes(salt);
    hash := hmac.HashValue(IndyTextEncoding_UTF8.GetBytes(value));
    Result := ToHex(hash);
  finally
    hmac.Free;
  end;
end;

After a little more searching I found OpenStreamSec - which looks like it was abandoned a few years ago but still compiles in D2007.

http://sourceforge.net/projects/openstrsecii/

Generating a HMAC-256 for Amazon is really simple:

StrToMime64(HMACString(haSHA256, SecretKey, 32, DataToHash));