Generally it can be a little tricky working with vanilla seeds (beans) and coffee. For sure you can not grind coffee and vanilla beans together- it would create a multitude of problems for your grinder! For sure it would mean a change of blades otherwise coffee beans for weeks would be flavoured with hints of vanilla. Best in my experience would be to use the seeds from the beans in the coffee drink directly. Vanilla is a highly flavored herbal- so not to much will flavor the coffee pretty effectively. Interestingly, in my opinion, vanilla is a product that thrives alongside other crops found near coffee- namely Cocoa, tobacco and cloves/cinnamon and nutmeg... all products that debataley work well with coffee in one way or another!
Agreed, I would grate the vanilla bean with a spice / nut grater or shave it with a razor blade... maybe dedicate a small blade grinder to the purpose if you plan on doing it regularly and add the shavings to the beverage.