Latics, who are in the Sky Bet Championship's bottom three just 18 months on from their famous FA Cup win, are currently talking to potential candidates about the post after sacking Uwe Rosler last Thursday.
The Scot came close to taking over at Crystal Palace in August, only to see that possibility dashed when details emerged of text messages, sent by Mackay, which he later admitted were "disrespectful of other cultures".
However, Whelan could be willing to offer Mackay a route back into the game as he promised to grant him an audience this week.
"I can confirm Malky Mackay has applied and we will speak to him," Whelan told the Daily Telegraph. "I believe he deserves a fair hearing.
"We've had over 20 applications and started interviews on Tuesday. Hopefully we can make an appointment before the game this weekend against Middlesbrough.
"It's an important job and I don't like to mess around when I think I've got the right person."
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