The Sunderland manager has undergone an extensive summer spending spree bringing in nine new additions during the close season.
Financially stricken Panathinaikos rejected a season-long loan from the Wearsiders earlier in the transfer window, as it is their preference to sell the winger on a permanent basis.
A £2.5m fee was later agreed between the two clubs, however Mavrias's move to the Stadium of Light fell through after a series of delays in concluding the transfer.
With the departure of McClean, Di Canio is set to resume his pursuit of the 19-year-old with the hope of making him his 10th addition of the summer.
McClean left the Stadium of Light yesterday after a two year stay in the north-east and spoke of his delight at securing a move to the Championship side.
"I'm delighted it's all been completed and I can say I'm a Wigan Athletic player," he told the club's official website.
He added: "This is a fantastic club and after speaking with the manager I can't wait to meet the rest of the team, start training and hopefully make my debut very soon with the aim of helping us get back to the Premier League."