Dele, now 30 years old, has been without a club since an agreement was reached to terminate his Como contract in September 2025.
The former playmaker, often tipped as England's next greatest player, left Spurs in 2022 and has since struggled to reconstruct his career that has quickly fallen apart.
Alli, who won the PFA Young Player of the Year award twice at White Hart Lane has failed moves to Everton, Besiktas (on loan) and Como but is now a free agent.
After training at Windsor & Eton, who play in Division One of the Isthmian League South Central Division, McCoist had admitted that it is saddening to see his dramatic fall from grace as he spoke on talkSPORT.
His comments came after Alli called former teammate Harry Kane regarding the Ballon d'Or later this month, an award Alli may have been up for if his career didn't crumble to dust.
“That's great, and it's fun and it's good to watch and listen to. But if you're talking about where he is at the moment in time, it's tragic. That's the biggest picture. Because he should still be playing at a level that we're talking about him on a Monday morning.
“Never mind playing in that tournament (2018 World Cup), I thought he was one of England's best players. He really was, he was different class.
“And it's just been downhill since, and it's so sad. There was comebacks here and comebacks there, and none of them seem to have come to fruition.
“So it's a mystery stroke tragedy for me. I mean, I enjoyed that. It's funny. There's nothing wrong with that at all. But the overall picture is, I'm just sad.
“He's doing his training with a fitness coach, with a football coach as well. And to see that no one's giving him a chance at 30 years of age.
“And that can be all fun, Twitch. It's funny and you're phoning your friends, but part of him's definitely thinking, 'They're still playing. Oh, Jack (Grealish), have you got time off? Harry Kane's going to get the Ballon d'Or.'
“Part of him will be like, ‘I should still be playing’. It's a shame. He's 30 - it’s a long time retired.”