The former Red Star Belgrade defender linked up with Wednesday at their pre-season training camp in his homeland of Slovenia.
He was given a run-out in a friendly date with FC Arsenal Tula, partnering Glenn Loovens and then Kamil Zayatte at the heart of the back four.
Kelhar did enough to convince Gray that he is worth another look and has remained with the Wednesday squad as they travel back to England.
The 30-year-old will continue training with the Sky Bet Championship side in the hope of earning a permanent contract.
Gray told The Star: “He played well so we have invited him to come back with us.
“He and Glenn Loovens looked like they had played 25 games together.
“Dejan will feature in Sunday’s game versus Doncaster Rovers. I need to see him against British opposition.
“Dejan is an experienced player. His reading of the game is good and he has conducted himself well in training and slotted in very well with the other lads.”
While the emergence of Kelhar is one positive to be taken back to Sheffield, Gray considers the whole Slovenia trip to have been a success.
He added: “Overall, it was a good, physical workout for us and a very rewarding training camp.”