Second half strikes from Zan Vipotnik and Ronald earned an impressive three points against the Owls, which sees the Swans rise into seventh place in the league table before the September international break.
Slovenian international Vipotnik, who also teed up the second goal, struck his third goal in as many games to give his manager food for thought over a potential exit.
Having been linked with a move away from south Wales before Monday’s transfer deadline, with the Swans closing in on a deal for Celtic striker Adam Idah, Vipotnik opened the scoring shortly after the break.
After running on to Zeidane Inoussa’s pass, the forward would strike low and confidently past Wednesday’s keeper Ethan Horvath to mark a successful first league start of the season.
The Swans eventually made sure of their first away success of the season when Vipotnik feigned to shoot before feeding Brazilian Ronald to net with ten minutes to go.
Sheehan’s side would have enough opportunities to win more comfortably, with Vipotnik going close on two more occasions, whilst Goncalo Franco twice missed the target when well-placed and Ethan Galbraith would see an effort come close.
Things could have been different if Wednesday had taken early chances through ex-Swan Jamal Lowe and veteran Barry Bannan. That would, though, have been harsh on Sheehan’s side, who would be the stronger of the two teams on the day.
Delighted with the result, the Swans boss would pay tribute to match-winner Vipotnik.
“Zan has had a wonderful week, and he led the line for us extremely well”, said Sheehan in his post-match conference.
“He had a bit of a disrupted pre-season with a toe injury, but we feel like he has really got up to speed.
“He is a wonderful lad, and we are definitely seeing the best of him right now.
“I thought we were very comfortable in both halves. We controlled a lot of the first half but wanted to create a small bit more.
“We went up a gear in the second-half and the only thing I can be critical of after that dominant away performance is not scoring more goals, but we looked a really strong outfit today.
“I really enjoyed watching us in the second half and I hope the fans enjoyed being able to see that performance.
“To come away with a clean sheet, two goals and potentially could have had a good few more – I think that’s very pleasing.
“I felt we limited to them to very little, but I was delighted to get the second goal.
“But ultimately it is two goals, a clean sheet and really close to a complete team performance on the road, that’s all you can ask for.”
[Lead image: Swansea City FC]