The former Derby County boss was 12/1 to take over at Birmingham City on Wednesday.
Lonergan returned to Leeds United from Wolverhampton Wanderers in August.
The former Chelsea and Tottenham Hotspur boss has emerged as a contender for the vacant Birmingham City post.
The Sheffield United manager was complimentary about his Sheffield Wednesday counterpart.
Leeds United are said to be taking a look at the former Feyenoord youngster.
Wolverhampton Wanderers look to be in rude health between the sticks.
Could one of the former Reading and Southampton bosses replace Harry Redknapp at Birmingham City?
Sheffield Wednesday's academy has produced a number of talented prospects.
Stylianides has signed for Queens Park Rangers three months after his Tottenham Hotspur release.
West Midlands rivals West Bromwich Albion and Wolverhampton Wanderers were keen on the Hull City starlet.