Almond flour will not make a roux. Nor will coconut flour. A roux needs gluten.
Alternatively, you can thicken gumbo with arrowroot powder. It will not change the flavor since you're used to a vegetable oil roux, not a traditional butter one. Oh that reminds me, add butter or bacon fat to your gumbo before you thicken it with the arrowroot. It will really REALLY put it over the edge.