Gunning, 23, made the move from Dundee United last month, and has now spoken of how he was very close to joining fellow Championship side Wednesday until he failed their medical but passed Birmingham's.
"The medical situation was well publicised," The Star quotes Gunning as saying. "I went to Sheffield Wednesday and had a medical.
"Then I came here to Birmingham and passed the medical. So I don't know how I could fail a medical and at the same time pass a medical here at Birmingham."
Gunning played 33 times for the Arabs last season as they finished fourth in the Scottish Premiership and reached the Scottish Cup final.