McPhail, 33, released by Cardiff in the summer, signed a short-term deal with Wednesday in September and has made 10 appearances for the club this season.
Former Southampton and Northampton boss Gray was placed in temporary charge at Hillsborough following the sacking of Jones earlier this month and has guided Wednesday to two wins in their last three matches.
"None of the players know who the manager will be so no one knows who will be going or staying," McPhail told the club's official website.
"Once the manager situation is sorted, I'm sure they will talk to us then. If everything goes to plan and the club want me to stay, I'd like to get that done."
"Stuart Gray hasn't changed things massively but he has kept things more simple and his training sessions are really enjoyable and very upbeat.
"There are small things he's changed to suit the way he does things and it seems to be working for us.
"The boys are all really enjoying it and looking forward to coming in for training every day.
"Personally I would like Stuart to get the job. He's managed in the past, he a great coach and knows everyone inside out so yes, I would like to see it and I think he deserves it after the recent wins."
Gray has been given an extended period until after the Christmas fixture programme to stake his claim by chairman Milan Mandaric.
Former Sheffield United manager Neil Warnock recently ruled himself out of the running, but former England Under-21s coach Stuart Pearce and ex-Birmingham boss Alex McLeish have emerged as leading candidates.