Thorpe sealed a move to Division Two rivals Queens Park Rangers on Friday and with Hatters boss Mike Newell in need of another marksman, the former Hartlepool United boss has turned to 20-year-old McSheffrey.
The youngster was transfer-listed by The Sky Blues in May, along with fellow strikers Julian Joachim and Jay Bothroyd, and has been on the lookout for a new club ever since.
He had an unsuccessful trial with First Division side Rotherham United last month before making the loan move to Kenilworth Road on Friday.
Newell will hope McSheffrey's addition helps to continue the club's surprisingly good start to the new season, with The Hatters hosting Grimsby Town on Saturday.
