Coleman told The Sunderland Echo: "James sees himself playing elsewhere, I don't think it has worked great here.
"Everybody hoped it would have gone differently, there is a conversation going on right now with both clubs.
"I have said before about letting him leave the building before we have something to fall back on but it has got to the stage where it is pretty serious that he could go.
"But for us to let that happen, of course, we need two strikers in and we are pretty close on doing that. It may take a few days. Conversations are ongoing with Wigan at the moment.”
Vaughan joined Sunderland from Bury in the summer of 2017 for a transfer fee reported by The Sunderland Echo to be worth £500,000.
The 29-year-old forward has struggled to make an impact at the Stadium of Light so far this season.
The former Everton forward has scored only two goals and provided just one assist in 15 Championship starts for the Black Cats so far this campaign.
Sunderland are struggling in the Championship at the moment and are in danger of getting relegated to League One at the end of the season.
Coleman’s side are currently at the foot of the league table with 22 points from 26 matches, two points behind 21st-placed Hull City.
Sunderland will return to action on Saturday afternoon when they take on Cardiff City away from home at the Cardiff City Stadium in the Championship.