Hughes was dismissed by Stoke City just two months ago, with the Potters in the bottom three following a poor run of form.
Pellegrino managed only five wins in his 30 league games with Southampton following his arrival in June.
Hughes has only been out of work since losing his job as Stoke boss in January, but he could now make a swift return to management as Southampton seemingly line up a move to bring the Welshman back to the South Coast. Previously, he has worked for Queens Park Rangers, Fulham, Manchester City, and Blackburn Rovers. They also need to contend with the FA Cup, where they face Wigan Athletic in the quarter finals.
Hughes played for Saints between 1998 and 2000 and they believe that he has the experience to steer the club away from the relegation zone.