The Owls have tasted victory in each of their last two matches and Gray could choose to stick with the same XI that recorded a 2-0 victory over promotion-chasing Middlesbrough last weekend.
On-loan Manchester United striker Will Keane netted his third goal for the club on Saturday and is likely to keep his place.
Forwards Stevie May and Chris Maguire and defensive midfielder Sam Hutchinson stepped off the bench against Boro and they provide options for Gray should he wish to shuffle his pack.
Blackburn manager Gary Bowyer will be without Grant Hanley and Josh King for the trip to South Yorkshire.
Influential defender Hanley (leg) and King (hamstring) missed Saturday’s goalless draw at Bournemouth with their respective injuries and will sit out once again on Wednesday.
Bowyer will not be able to call on defender Bradley Orr after he left the club before announcing his retirement from football on Monday.
Shane Duffy and Jason Lowe are long-term absentees with their respective knee and foot injuries.