Best and thinnest way to cover masonry brick wall with drywall
According to this link, you can fasten drywall directly to block. 

Personally I would use 3/4" furring strip and fasten with tapcons - or build a wall so I have wood to screw into. Since losing space is a concern here, adhesive and drywall screws or drywall nails should be enough to fasten the drywall.