The Sky Blues were in talks with the Molineux outfit over a possible switch, but a deal collapsed because the Championship side stalled during negotiations.
Coventry were reportedly unhappy with a 24-hour recall option and a clause excluding Vokes from FA Cup games, and were in no hurry to strike a deal with current forwards Leon Best and Clinton Morrison bagging 12 goals between them so far this term.
"The option for him to go to Coventry may well have gone, because it hasn't been done," McCarthy said in the Express & Star.
"It was set up to be done but they didn't do it, so we'll see because there are a few clubs that want him.
"More than likely a loan will happen, but not just yet because he's gone away with Wales. There's nothing going to happen for a while.
"Where he goes, I don't know but it's been a shame for Sam."
Meanwhile, defender Richard Stearman has suffered a setback in his bid to recover from an injury to his lower leg.
The 21-year-old was due to play in Wednesday's second-string game against Aston Villa, but has aggravated the knock and will not feature.
"Richard won't be playing in the reserves," McCarthy added. "He just felt it on Friday, so he'll be having some rehabilitation and we'll try to get him right for the Everton game.
"I suppose the only problem is he won't have had a game, and it would have been nice for him to play tomorrow. He was alright having played half a game in the reserves last week, but he's hurt it again."
However, Ecuador midfielder Segundo Castillo is set to be fit for the Everton game after missing the Portsmouth defeat with a hamstring injury.
Everton 4/9, Draw 3/1, Wolves 15/2