Callum McFadzean collected the ball outside the box and then drove into the area for the home side before firing at goal, but McGregor made the stop, while Billy Sharp's strike on the rebound went wide of the target.
Stefan Scougall was the next United player to give the Hull backline problems as he weaved his way past a defender before shooting from a tight angle, but Michael Dawson was there to make an important block.
The Blades took the lead when Jamie Murphy raided into the box from the right and his strike was too powerful for McGregor to hold as the keeper just failed to keep the ball out.
The Tigers pushed for a leveller in the second half when they won a free kick just outside the box, but Aluko curled his effort over the bar.
The Blades attempted to regain their lead late in the game through Martyn Woolford, but his shot was blocked. From the resulting corner, a header was cleared off the line as Hull managed to hold out for the draw.