Recent reports speculated that McLeish was considering his future at the City Ground after little over a month at the helm.
The Scot was left frustrated after missing out on several transfer targets last month - most notably Peterborough winger George Boyd whose move to the east midlands was scuppered by a failed eye test.
And a bad week for McLeish was capped on Saturday with a 2-1 defeat at his former club Birmingham, where both Blues goals were scored by another player he tried to sign - Chris Burke.
Source: PA
Source: PA