In a large saucepan over medium heat, warm the olive oil and coconut oil. Add the shallot and cook for 2 minutes until tender. Add the fennel, thyme, and cayenne and cook for 30 seconds over medium heat until fragrant.
Add the flour and cook for 3 to 4 minutes, stirring frequently, until the shallots turn brown and the color turns golden brown.
Reduce the heat to medium low. Add the vegetable broth and stir until smooth and thickened, about 5 minutes.
Stir in the almond milk, salt and soy sauce. Taste and add additional salt until the flavor pops (we used about 1/2 teaspoon total). Remove from the heat and strain into a clean container. The gravy will continue to thicken as it cools.