Leeds are keen to take Delph back on-loan this month.
McLeish said: "Fabian is one we might think about going out on loan.
"(Leeds manager) Simon Grayson did try to call me (about Delph) but I've not spoken to him yet. I think he spoke to (Villa coach) Kevin MacDonald so I'll get back in touch.
"I'm going to speak to Paul Faulkner (Villa's chief executive) to see where the club lies with it."