Making Roux when Flour is Missing
Technically, you can make roux with any starch and any fat, per Harold McGee.

So use cornstarch or arrowroot or whatever you have.  Just avoid something with strong flavor like cornmeal.

Of course, the flavor and thickening properties will be those of the starch you use... And you probably don't want to make a brown roux with anything but flour because of the flavor difference.