May was poised to make his first appearance for Wednesday in the midweek Capital One Cup win against Notts County before the club were made aware of his suspension at the 11th hour.
The former St Johnstone striker is expected to play some part against Steve McClaren's Derby at Hillsborough and with Wednesday pair Gary Madine and Atdhe Nuhiu both among the goals on Tuesday night, Gray faces a tough decision.
"You can only pick 11 but you need a squad of players and you need that competition," Gray said.
"If I leave anybody out I don't want them to be happy to be left out, but yes, I'm going to have a few sulkers when I pick the team.
"But I pick a team to win a game of football, not to please everybody, that's the most important thing, the result.
"We start at zero-zero, can we win the game? If we can't, don't lose the game."
Wednesday went down 3-0 at Derby last November and lost the return at Hillsborough in February 1-0, but have notched two wins already this season and Gray said his side was full of confidence.
"It will be a difficult game on Saturday against a team that took six points off us last season," he added.
"Their team's not changed much really, they're a footballing side and it will be a good game.
"We're looking forward to it full of confidence and it's on our patch as well. We want to impose our game on them."