Normally you don't add a lot of stuff to a roux other than oil and flour, and maybe some seasoning. Prudhomme what always fry whole pieces of heavily seasoned chicken skin on in oil, then reserve some of that oil to add his flour to.
I haven't done the whole piece of chicken deal in a while cuz it's a bit messy, but all season and flour cut up pieces of thigh meat, shallow fry, and use that reserved oil for my roux. A lot of the flavor from roux simply comes from how dark you decide to let it go. Chicken andouille gumbo, I let it get the color of dark mud, seafood I go for peanut butter colored. Darker it is, the smokier it'll be. Certain proteins just handle it differently, but it's all to taste. Gumbo is poor people food, and everyone has their own recipe and ingredients. Use whatever the hell you want. Chop up a Boston butt, and throw pork in there too, or if you can find tasso, that's always a nice addition. Will really add a lot of flavor.