Murphy, 29, is out of contract at the Iron and is available on a free transfer.
Coventry's first-choice keeper Keiren Westwood has been linked with a move away from the Ricoh Arena this summer, and Murphy appears top of the list of targets to replace him.
"I am an admirer of Joe Murphy who is a decent keeper and been outstanding in a team that hasn't particularly done well, and that's no disrespect to them," Thorn told the Coventry Evening Telegraph.
"Obviously we want Keiren to stay but if he doesn't then I have to have other options and have our ducks in a row and prepare in case we don't get people to re-sign. If we do, fantastic, but we can't be left up the creek without a paddle."
Murphy has not commented publicly on his future, but was one of the most visibly upset players when relegation to League One was as good as confirmed after the home loss to Millwall.
The Republic of Ireland international has made 227 competitive appearances for the Iron since joining on a free transfer from Sunderland in the summer of 2006.
His time in North Lincolnshire has proven eventful, with two promotions from League One, two Wembley appearances and two relegations from the Championship.
Coventry are currently unable to sign any players as they have been under a Football League transfer embargo since Match.