Blues are looking forward to their first major Wembley final for 55 years having defeated West Ham after extra-time in a dramatic Carling Cup semi-final at St Andrew's this week.
McLeish is aware how much physically that took out of his players and he will make changes for Saturday's FA Cup fourth round clash at home to Coventry.
"My biggest concern is `can these players go through these next two games the way they came through the West Ham game?' because I've got a few on the verge of collapse," said McLeish.
"I'm hoping we don't suffer a burn-out situation with one or two of them and have a Scott Dann situation when fatigue was a factor in his (hamstring) injury.
"Will there be changes for Saturday? Absolutely. No doubt. There is no way that these guys can go through that again."