  Let $(\sigma,\delta)$ be a quasi derivation of a ring $R$ and $M_R$ a right
$R$-module. In this paper, we introduce the notion of $(\sigma,\delta)$-skew
McCoy modules which extends the notion of McCoy modules and $\sigma$-skew McCoy
modules. This concept can be regarded also as a generalization of
$(\sigma,\delta)$-skew Armendariz modules. Some properties of this concept are
established and some connections between $(\sigma,\delta)$-skew McCoyness and
$(\sigma,\delta)$-compatible reduced modules are examined. Also, we study the
property $(\sigma,\delta)$-skew McCoy of some skew triangular matrix extensions
$V_n(M,\sigma)$, for any nonnegative integer $n\geq 2$. As a consequence, we
obtain: (1) $M_R$ is $(\sigma,\delta)$-skew McCoy if and only if
$M[x]/M[x](x^n)$ is $(\overline{\sigma},\overline{\delta})$-skew McCoy, and (2)
$M_R$ is $\sigma$-skew McCoy if and only if $M[x;\sigma]/M[x;\sigma](x^n)$ is
$\overline{\sigma}$-skew McCoy.
