Jennings is on trial with the League One club and played in their pre-season friendly win over Bristol Rovers on Saturday.
The 27-year-old, who began his career at Tranmere, has rejected the offer of a new contract at the SPL club.
Thorn told Coventry's website: "I thought he did well at the weekend. He and his agent are now in talks with the club at the moment."
He added: "I can't tell you any more about it at the moment but he has done well since coming here."