Add the coconut oil, shallots and salt to a 2 1/2 quart sauce pan. Sweat the shallots over medium low heat until they are translucent.
Make sure to use an off set spatula to move the shallots around to keep them from burning. If you burn the shallots the sauce will be ruined and you'll want to start over.
Make a roux by adding the oat flour to the shallots and stir constantly for six minutes making sure not to brown the flour.
Whisk in the almond milk to prevent it from clumping with the flour. Next, add the fresh thyme and bay leaf. Raise the heat to medium and allow the sauce to simmer for 20 minutes stirring often.
Add the lemon juice and nutmeg. Season with additional salt and pepper to taste. Strain out the fresh herbs and enjoy!