Tofu should be cheaper than meat (like $2-3/lb, and maybe cheaper at Asian grocers), dehydrated soy products like TVP are even cheaper.
Beans and lentils are some of the cheapest foods available both by calorie and by gram of protein, this is doubly true if you get them dry.
Nuts can be expensive by weight, though they are very calorie dense. Peanuts and peanut butter are usually quite cheap, some stores might have cheap mixed nuts as well.
Leafy greens don't pack many calories but are fairly close to being just protein and fiber and also very nutritionally complete. They also aren't expensive, I regularly get bunches of kale for under $2 for example.