Nuhiu is in the final year of his contract at Sheffield Wednesday.
Lajm claims Shkëndija want Nuhiu in time for their upcoming Champions League qualifying campaign.
The Kosovo international was Wednesday's top scorer the season before last, finding the net on a career-best 14 occasions.
But he failed feature as prominently in 2018/19, and only scored on five.
Nuhiu is one of six recognised senior strikers currently on the books at Sheffield Wednesday, alongside Steven Fletcher, Sam Winnall, Lucas Joao, Jordan Rhodes and Fernando Forestieri.
And with just a year left on his contract, it's possible he could be moved on if an offer comes in.
The 29-year-old is one of Wednesday's longest-serving players, having joined the Owls in 2013.
Six out-of-contract players and four loanees have departed Sheffield Wednesday since the end of last season, but no new faces have officially arrived.
How should Sheffield Wednesday respond if an offer comes in for Nuhiu?
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