I suppose it would depend on the GUI library and whether it exposes its context and its container. If it's exposed, however, you should be able to allow SFML to take it over using something like this:
window.create(gui.getWindowHandle());
Of course, the getWindowHandle function should be replaced by the GUI's method of doing it.
https://www.sfml-dev.org/documentation/2.5.1/classsf_1_1Window.php#a6d60912633bff9d33cf3ade4e0201de4
Note that "window handle" in this case doesn't necessarily only refer to actual user windows.