The 20-year-old winger moved to Palace from Millwall in January of last year, and has since made 17 appearances in all competitions in red and blue.
Esse notably scored on his debut against Brentford at Selhurst Park, and made two appearances in last season’s successful FA Cup run.
He will now link up with Coventry for the second half of the 2025/26 season, with Frank Lampard’s Sky Blues currently leading the Championship by a margin of six points over Middlesbrough.
Everyone at the club wishes Romain the very best of luck with his loan spell.