Veteran goalkeeper Friedel left Villa earlier this month to join Premier League rivals Tottenham on a two-year contract.
McLeish is now in the market for a new number one and has been linked with several keepers, including Ben Foster at his former club Birmingham.
Another keeper to have played under McLeish is McGregor and the Rangers ace has been a long-term target for Villa.
He was wanted by McLeish's predecessor Gerard Houllier and the new Villa boss is assessing his options ahead of dipping into the transfer market.
"We do need a goalkeeper and there's a number of names I've got in mind," said the former Rangers boss.
"Allan is a good keeper, but agents are bombarding me with hundreds of names."
McLeish is also keeping an open mind regarding Carlos Cuellar's future at Villa Park after the Spanish defender was linked with a return to Rangers.
The Scot added: "Carlos has an injury and the physios will keep me up to date as to when he will be ready again.
"I know there is interest from Rangers, but it may be we will have to keep Carlos and he has to fight for his place again. Every player will start with a clean slate."
Source: Team Talk
Source: Team Talk