Las Palmas signed McKenna and McBurnie on on free transfers earlier this summer following their exits from Nottingham Forest and Sheffield United respectively.
McKenna made his first La Liga start in Sunday's clash with Leganes, and he could retain his place alongside Mika Marmol in central defence.
Right-back Viti Rozada is in contention to make his first Las Palmas start, while Alex Munoz is expected to keep his spot on the left side of defence.
Enzo Loiodice could be brought into the side to solidify the Las Palmas midfield, with the Frenchman set to operate alongside Javi Munoz and Kirian Rodriguez.
In attack, McBurnie is poised to lead the line against a strong Real Madrid defence after starting the first two matches of the season.
McBurnie is waiting to open his La Liga account, but he managed to force an own goal against Sevilla and provide the assist for Sandro Ramirez's late consolation in Sunday's 2-1 defeat to Leganes.
The 28-year-old is expected to be supported in attack by Alberto Moleiro and former Real Madrid man Marvin Park.
Las Palmas boss Luis Carrion will be unable to call upon at least two players for Thursday's contest, with Pejino and Adnan Januzaj currently sidelined with muscle injuries.
Meanwhile, midfielder Fabio Gonzalez is a doubt after being forced to sit out the first two matches due to an ankle problem.
Las Palmas possible starting lineup: Cillessen; Suarez, McKenna, Marmol, A Munoz; J Munoz, Loiodice, Rodriguez; Marvin, Moleiro, McBurnie
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