The error is likely related to the fact that we create the Null Space for GAMG using PCSetCoordinates, but it appears that PCSetCoordinates does not know what to do with thermoelasticity (4 dofs per node). Thus it is asking you to explicitly set the null space. You need to replace the call to PCSetCoordinates with a call to MatSetNearNullSpace. I'm not exactly sure what the syntax for this is but you should be able to find some examples in the PETSc tutorials/examples. Note that we set the block size (MatSetBlockSize) when we create the matrix, so you do not need to do that again.
If you can not figure it out, please post again and we will try to have a look too.