Sunderland striker Wickham has performed well at youth level for England but has failed to become a Black Cats regular, and chances of a senior England call seem far-fetched at the moment.
He would be eligible to play for Ireland because of his Northern Irish father Stefan.
"He is out on loan at this minute at Sheffield Wednesday and Connor would be the first to say that to go and play in the Premier League week in, week out is still a big task," O'Neill is quoted as saying by the East Anglian Daily Times.
"But those little spells on loan, particularly this one where he is doing all right and scored a few goals, will help him.
"I don't think I am in a position at this minute to turn down anything and if someone tells me someone is available, particularly someone I have worked with and might have a chance, I would give it some consideration."
He joined Sunderland from Ipswich for approximately £8m back in 2011.