Cut sausage into 3-inch long pieces. Heat oil in a large saucepan over medium heat. Cook sausage, turning occasionally, for 4 minutes or until lightly browned. Add onion, green and red pepper, jalapeño and garlic. Cook, stirring frequently until vegetables are tender, about 5 minutes.
Sprinkle flour over vegetable mixture and stir until combined. Slowly add vegetable broth and coconut milk, stirring constantly. Continue to cook and stir until sauce comes to a boil and thickens slightly. Add oyster sauce, garlic powder, Old Bay seasoning and black pepper. Simmer uncovered 5 minutes.
Add shrimp. Cook 3-5 minutes longer or until shrimp are cooked and opaque in the center. Serve over hot cooked rice.