A win against Manchester United at Old Trafford on Sunday will see Leicester crowned champions of England for the first time and make a mockery of their 5,000-1 odds.
Mahrez recalled the moment he called time on a 10-week trial with St Mirren - believed to be around 2007 - because he could not stand the harsh climate.
"An agent paid for my ticket to Scotland and I travelled over with my Sarcelles team-mate Dany Bekele. It went well at first," said the man who was this week crowned PFA Player of the Year.
"I played four friendly matches and scored seven goals. But they made me wait - for two-and-a-half months.
"Scotland drove me crazy. It was cold and physical. One day it was so cold that I feigned an injury to go back into the dressing room.
"I felt I had progressed enough but I wasn't able to leave - so I left in secret. I even left my boots at the training ground. I borrowed a bike from a guy at the hotel and packed my bags without telling anyone.
"I didn't even tell the lady at the hotel. I took a secret staircase which avoided the reception and went to the airport to go home!"