This is thickened with xanthan gum, which you can find in health food stores. Be careful with it, as a little bit goes a long way, and it takes just a bit longer to thicken than flour or cornstarch, so do give it time.
Brown sausage until cooked through and drain any excess fat.
Pour milk over crumbled sausage and season with salt and pepper.
Stir in coffee.
Sprinkle xanthan gum evenly over skillet, and stir over low heat until gravy thickens.
Note: xanthan gum takes a bit longer to thicken than flour (and uses quite a bit less), so be patient; if you start adding a lot of xanthan gum to get it to thicken, the gravy will turn pasty (but if it does, just thin it with milk).