Al-Habsi played in Thursday night's UEFA Cup defeat at Sporting Lisbon and Sundays game at the JJB.
Megson said: "Ali's development has been fantastic and he has taken his chance when he has come in.
"But in Jussi (Jaaskelainen) we've got one of the best keepers in the Premier League as well as Europe - and he is good because of the competition behind him."