The 28-year-old rejoined Coventry over the summer and he is now back in form having scored four goals in his last five league outings.
The Sky Blues entertain Leeds at the Ricoh Arena this weekend and McSheffrey is out to prove to Grayson he was wrong not to pursue his services when he had the chance.
"Leeds had first bids on me in the summer," said McSheffrey. "But Simon Grayson wasn't having me, simple as that. This year is about proving people wrong and he's one of those, definitely. I've learnt things and hopefully came back an all-round player."