This paper presents a novel type of compact inline coaxial to ridge gap waveguide (RGW) transition, which covers the whole Ka frequency band. The structure connects with the connector's inner conductor through a rectangular probe directly. The probe is set in nail bed without any extra parts. Hence, a simple and compact transition comes to fruition at the circuit topology level. This transition can be considered as an inhomogeneous stripline, so the characteristic impedance can be analyzed similarly to the stripline. Beyond this, a mounting hole is drilled at rectangular probe to improve the robustness and convenience of assembly without welding or conductive adhesive bonding. To verify the performance of the proposed structure, a back-to-back transition is designed, fabricated, and measured. Measurement results achieve better than 20 dB return loss and about 0.15 dB insertion loss from 26.4 GHz to 40.4 GHz. It corresponds greatly with simulation results and bespeaks valuable in millimeter-wave applications.