The Black Cats' £10m-rated striker has been linked with a summer move to Arsenal after a superb season for O'Neill's side, says the Daily Star.
Sessegnon's old club Paris Saint Germain are also preparing a bid to lure the 27-year-old back to the French capital.
O'Neill said: "Sess is playing brilliantly. There's talk of him being unhappy and having a tough time with his family. But believe me, he couldn't be happier."