Since I discovered by accident that finely chopped cauliflower in stew is like rice in gumbo, I want to try to make gumbo! I'm not worried about thickening the gumbo since okra, file powder (ground sassafras leaves), and super bony broth will make it thick enough, I just want that roux flavor!
Emeril makes a low fat gumbo that's roux is just flour cooked in oven at 450 30 min till dark nut brown I used to make it all the time before going paleo and works well so just substitute a paleo approved flour
Mix a little bit of coconut flour with some gelatin, water, and lots of butter. Beef stock would be even better. Go easy on the coconut flour as it absorbs liquid very quickly. The gelatin is used to replace the elasticity of the gluten. You can of course use a gelatinized bone broth instead of gelatin powder.
I've not tried this, so experiment and see what the proportions are.
I did something very similar though, I made a turkey gravy from giblets and liver two Thanksgivings ago, but you'll want to skip the liver/gibblets for a roux. Basically, it was cook liver, giblets, in butter, remove and throw in a food processor, buzz them until they're a paste, and throw them back in the pan, then a teaspoon of gelatin, then add the coconut flour a teaspoon at a time mixing thoroughly until you get the right consistency.)
I've done it with rice flour and butter. Not strictly paleo, but gluten free at least. It seemed to work pretty well but possibly didn't have the thickening properties of wheat flour.