To make gravy vegan, you have to substitute the milk for a plant-based milk like soy milk, cashew milk or almond milk. And, if you're using fat to make your gravy, you have to substitute the butter or lard for vegan butter made from vegetable oil. In my vegan mushroom gravy recipe, I use a cornstarch slurry to thicken it so I can make it without oil or vegan butter. This reduces the calories drastically, as well.