Former Ireland coach Eddie O'Sullivan has not been offered an interview to replace Eric Elwood at Connacht, despite contact with the club about the head coach job.
Holley spent nine years in all at Ospreys but his four-year term as head coach was terminated earlier this year even though he had a further two and a half seasons to run.
Lam, who lined out once for the All Blacks before playing with Samoa in three World Cups, lost his job in charge of the Blues during the summer, where he had been head coach since 2009. His playing career included spells with Newcastle Falcons and Northampton Saints.
Connacht assistant coach Dan McFarland and backs coach Billy Millard are also believed to be strongly in the running.
Two other candidates have emerged since the deadline for applications closed last week. Some interviews have taken place and Connacht are confident of naming Elwood's successor in the near future.
The other two coaches linked with the position are former Wasps fly-half Alex King, who is currently assistant coach with Clermont Auvergne, and Tony Hanks, who joined Wasps when ex-Connacht coach Warren Gatland was in charge. Hanks was sacked by Sale Sharks as head coach earlier this year.
Meanwhile, Connacht flanker Willie Faloon has been ruled out of the return match against Biarritz on Friday having suffered a fractured eye socket in the 22-14 win at the Sportsground.
But No 8 George Naoupu (foot), lock Michael Swift (groin) and prop Nathan White (calf) returned to light training yesterday and could be available for Friday night's clash.