Marlon of Macedonia implemented GDI+ C++ API on top of AGG2 (Antigrain Geometry, a high performance portable anti-aliased 2D graphics library). Announcement and discussions about the wrapper can be found at Antigrain mailing list. ZIPed source code is available here.
Note that it's not a full implementation of GDI+, just the parts Marlon uses. Still, I think the chances are good that most of the API you need is covered by Marlon's implementation. If not, you can join hand with Marlon to fill in the parts you need. The result will be better and faster graphics for your GDI+ application. I hope others will port this to .NET soon.