Many of us make our own shakes, soups and even entrees. No ingredient is banned (so long as you can make the recipe fit the guidelines). I often use skim milk and yogurt to make my shakes. Many brands of greek yogurt meet the shake guidelines.
As to coffee, there are coffee and mocha flavored shakes available. Some contain caffeine, but many do not, so you have to read the label.
I am not a big coffee fan, but I do keep a small jar of instant coffee (the kind that does contain caffeine) on hand to add to chocolate and vanilla shakes.
For caffeine, I also will use energy drink packets in my shake (or in a separate beverage). For example, right now I have a couple caffeinated Crystal Light flavors. Mango-peach and some kind of lemonade (pomegranate lemonade, I think).
I do not buy ready-made shakes (mostly because I find them far too sweet and I think, overpriced).
Instead, I buy unflavored protein isolate. My favorite is undenatured whey protein isolate (also called cold-filtered, cold processed, or microfiltered). Some brands do not identify how their whey protein isolates are made, but if they stress in their advertisements that their products dissolve extremely well and quickly, even in water, there's a good chance that they're using a cold, microfiltering process.
Syntrax medical (available online and in some retail stores, like Vitamin World) is one brand, but if you live near a privately owned dairy or cheesemaker, you may be able to buy it cheaper.
Syntrax also makes many flavored and sweetened whey protein drink mixes using cold-filtered whey protein.
In a pinch, I can make a "shake" by stirring a scoop of whey isolate and a single packet of sugar free drink mix into a 16 - 20 ounce glass of water and ice (110 calories).
Cold-filtered whey protein isolate is more expensive than conventionally (heat) processed whey proteins, but I find that the texture and flavor is far better. It has a milder, more milk-like flavor.