The 22-year-old has not figured in Simon Grayson's first-team squad so far this season and heads to Boundary Park in search of regular first-team football.
The Republic of Ireland Under-21 international ended last season on loan at Crewe and has not featured for Leeds since the 2-0 home defeat against Carlisle in January.
Grayson told the Whites' official website: "Opportunities are limited for Alan here at the moment and I can't guarantee him regular football.
"This is an opportunity for Alan to hopefully get some games in and we wish him all the best."
Sheehan could make his Latics debut on Tuesday night when Oldham take on Accrington in the Johnstone's Paint Trophy.