The Republic of Ireland international was taken off on a stretcher in the 12th minute of Hull's 1-0 home loss to Southampton on Tuesday.
The injury – which occurred after he collided with team-mate Steve Harper – is likely to see the 28-year-old defender spend a significant amount of time on the sidelines.
Hull manager Steve Bruce said that he suspected McShane had suffered ligament damage after Tuesday's loss, after x-rays confirmed he had not broken his ankle.
But a Hull statement, released on Wednesday, said swelling had complicated routine scans to determine the extent of the injury.
It read: "Paul McShane will have further tests on his left ankle to discover the full extent of the injury sustained last night.
"After further imaging this morning it was decided there will be further investigations next week once swelling has reduced sufficiently."
McShane has made nine Premier League appearances for Hull this season.
