Can a roux be made with corn meal?

If corn meal is the same as corn flour, then yes it can. It will need somewhat less corn flour than it would ordinary wheaten flour for the amount of milk and butter, but would give the same result when the sauce was finished.
(I have no reference link for this, but speak from my own experience with making sauces for various dishes personally)

No but it can be made with cornstarch or corn flour
Cornflour / cornstarch can be used instead of wheat flour, as less is needed to thicken, and it imparts less of the raw flour taste, and it also makes the final sauce more shiny.
Corn meal would be too coarse
https://en.wikipedia.org/wiki/Roux

Since the difference between meal and flour is one of particle size, if one treats the meal before use, it should be usable. A rolling pin should break the meal into smaller, floury sized particles. The hi-tech way might be to put the meal into a processor of some sort (coffee bean grinder?).

https://en.wikipedia.org/wiki/Rolling_pin

As an added note. For years I have used crushed to powder Ritz crackers (dry and without the milk of a roux) and lobster surimi to make a simulated Baked Stuffed Lobster. I have recently discovered that crushed Cheezits crackers can be used to make a roux and if you add real or surimi lobster or crab the result tastes much like Lobster or Crab Newberg. Delicious!

https://en.wikipedia.org/wiki/Lobster_Newberg