The 19-year-old has spent the past two weeks training with the League One side and has now returned to the North East.
But Sky Blues boss Tony Mowbray is keeping an eye on his progress and the wide man could be one of the first Newcastle players to leave on loan after the emergency window opened today.
Gilliead’s teammate Adam Armstrong is already on loan at Coventry and has been catching the eye with a series of dazzling displays.
Mowbray told the Coventry Telegraph: “Alex has gone back for now.
“He was with us for a week or two but wasn’t allowed to play any games because it was in a hectic period of Saturday/Tuesday, Saturday/Tuesday and a lot of the training was game preparation so I didn’t see him play in a game, so he went off with the Under-20s and I said I’d watch him play for them and in some Under-21 games back at Newcastle.
“I’ll keep an eye on him really.
He’s a very, very fast wide player and Adam obviously knows him very well because they’ve played in the same team together for a while with Newcastle Under-21s.”