The 22-year-old has netted just five times since an £800,000 summer move from St Johnstone where he scored 27 goals last season.
But his non-stop running, trickery on the ball and several near misses have convinced Gray that May can be a success in English football.
In the Boxing Day win over strugglers Blackpool, May earned the penalty – after a tangle with Peter Clarke – which brought the game’s decisive moment as Chris Maguire tucked away the spot-kick. The Scot was only denied a deserved headed goal himself by an acrobatic save from visiting goalkeeper Joe Lewis.
The Owls head for Wigan tomorrow evening and Gray is backing May to rediscover his goal touch.
“Stevie May was a little bit unfortunate against Blackpool,” said Gray. “The goalkeeper pulled off a couple of good saves and he had a couple of headers that went by the near post when he wishes he had hit the target.
“I am sure Stevie will get a hatful one day, nobody works harder. He won’t be the only forward in the country who is having a barren spell in front of goal.
“He’s not the type to feel sorry for himself, he will keep going, and we have another game on Tuesday against Wigan.
“He knows he has to keep on working, defend from the front – I thought Maguire did that well, too – and that’s why we are not conceding many goals.
“It’s about getting your noses in front, which we haven’t done for a while. The most important thing was a win at home. I think we can play better, the pitch is not conducive for us at the moment – it’s cutting up pretty badly – but it was about getting the three points.”
There was some debate at Hillsborough about the penalty, and how much contact there was between May and Clarke.
But Gray was aware this was Wednesday’s first spot-kick in the Championship this season, and feels “stonewall” penalties have been turned down in previous games.
“It was obviously a penalty because the linesman gave it and the referee decided to give it and maybe we haven’t had that bit of luck in the past,” he said. “I have often said these things seem to balance themselves out.
“Yes, I’m relieved to get it, but the most important thing is we kept the ball alive in their box.
“Credit to Chris Maguire, who stepped up and slotted it away. I am just disappointed because we had some good play, got into some good areas, and we should have got the second goal.
“Suddenly, they got their first corner of the game in the 88th minute and I had nobody to delegate to pick up the 6ft 5ins goalkeeper who was coming in.
“It just felt it had a smell of the Millwall situation where we got done in the last kick of the game. But, credit to the lads, they kept a clean sheet and, like I said beforehand, it was a must-win game.”
Gray is also hoping Maguire’s goal can kick-start a scoring spree after the striker was paired with May up front.
The Owls’ head coach revealed he pushed Maguire forward from his converted right-flank spot to try to exploit a sluggish Blackpool rearguard.
“I have seen Blackpool play twice, and, not being disrespectful to them, they are not blessed with pace at the back,” said Gray.
“I thought with Stevie’s legs getting in behind them, and Chris being able to drop in, turn and run at them, that they did well and complemented each other.
“It was a game made for them to do it. I don’t think it was a game for Atdhe (Nuhiu) because Clarke and O’Dea enjoy the physical challenge.
“Chris got 10 goals at the back end of last season so, hopefully, that will kick-start him. Hopefully, it might kick-start us getting a few penalties as well.”
Captain Glenn Loovens is a doubt for tomorrow’s trip to Lancashire after missing the Boxing Day match with a hamstring niggle.
Frenchman Claude Dielna stepped in and gave an assured display alongside the outstanding Tom Lees.
Gray said: “Loovens failed a fitness test in the morning, but I thought Claude came in and did his job, keeping a clean sheet.
“Loovens was close, 50-50, but he could still feel his hamstring during his fitness test. The last thing we wanted to do was throw him out there, only to see him rip it and then be ruled out for four to six weeks.
“Claude did okay; he has had to be patient because the partnership between Lees and Loovens has been outstanding.
“Credit to Tom, he looked like he didn’t put a foot wrong and was a calming infleunce.”
The Blackpool victory was only the third Owls success in the Championship at Hillsborough this season, and they have scored just six goals in 12 games. In previous home encounters, Gray’s side had thrown away 1-0 leads against Millwall and Ipswich Town after dominating play.
With the Owls having played 23 games – exactly halfway through their Championship programme – Gray was asked to give his assessment of their campaign so far.
“It’s like a school report, ‘could do better’,” he admitted of his mid-table side.
“We have had opportunities where we have been 1-0 up, dominated, and then been punished for not getting the second goal.
“Personally, I think we have thrown away eight points where we would now be a little bit healthier. But it’s what we have got, where we are, and it’s something to build on.”