Season the steak with a thick layer of coffee rub. Drizzle with olive oil and massage over the entire steak. Let sit for 20 minutes to allow the flavors to develop.
Heat coals on a grill. When the coals are red hot, spread them out on one side of the grill and place the steaks over the coals. Sear the steak for 2 minutes on each side. Move the steak to the cool part of the grill and cook with the lid on for 20 minutes. Remove from heat and let sit 10 minutes.
In a small bowl add the shallots, mushrooms, and garlic. Drizzle with olive oil and season with smoked sea salt. Spread the mixture onto a grilling pan in a single file. Brush the romaine lettuce with some olive oil and season with smoked sea salt. Place over hot coals and grill until lightly browned on all sides, turning every minute or two until done.
Place the romaine lettuce on a plate, divide the mushroom mixture evenly, and top with tomatoes and blue cheese. Slice the steak and arrange around the lettuce.