Carson Yeung's takeover of Blues is expected to be officially confirmed later this week after months of negotiations.
Yu, who will play a key role in Birmingham's new regime, is confident they can enjoy a successful working relationship with McLeish.
"I think Alex will work really well with us," Yu told Sky Sports News. "We will put ourselves together like a team.
"I am going to speak to him soon and talk about how we can work together and get some results and don't let the supporters down.
"And by hard work we can enjoy the future together."