I've heard he was considered before Connery was available, but I can't remember the source and it probably wasn't 100% credible. It might have been somewhere like Wikipedia.
If McClory wanted to create a Bond film in 1983 and Connery just happened to want to do it, then I have to think there were two other alternative routes.
1) Sean doesn't want to do it, so let's get George and see what type of buzz we can get with him. Maybe do a legit "sequel" to OHMSS...as DAF was arguably the biggest missed opportunity in the series. Only 14 years after OHMSS, so add some good makeup and make it look like 4 years...it could work (in theory).
2) Get ahead of the game. Cast the "Most Likely to be the next Bond..." or the "Most Popular choice to be the next Bond..." and see if they bite. I think the equivalent recently would've been Clive Owen (like it or not). Then, with an aging Roger, you have a perceivable edge going into 1983 and maybe...just maybe...a chance at beating OP at the box office.
All theories...of course.
I think both of these are most unlikely. The McClory project was extremely limited from the very outset. Once McClory had his right to do his own Bond film confirmed by the courts there were also a number of limitations imposed upon this enterprise. McClory could only and exclusively use the material that was developed during the time of the original first project of Fleming, playwright Whittingham and McClory. Wheather for TV or cinema, this material to all intents and purposes concerned only a number of different treatments of the 'Thunderball' plot in varying degrees of screenability for either medium.
So, whatever McClory claimed, he really only had the right to remake this particular plotline with a very narrow margin of digress owned primarily to the number of different versions that was produced during that period between the men. So, while McClory had an enormous pagecount, the actual content of his material was relatively meagre. To alter the plot, adapt it as a kind of unofficial sequel to OHMSS, would have been immediately stopped by EON's lawyers. Likewise the use of any kind of trademarked and copyrighted images rightfully owned by EON (gun-logo symbol, gunbarrel-opening, 007-theme ect). While McClory over the years advertised a whole racetrack he really only had a one-trick-pony in his backyard. He could do just one single film, period.
Ok, he could do that film a thousand times but how often would anybody want to see how many different versions of the same film?
So from the outset it was pretty clear this would only ever be a one-off. It couldn't become its own series and whoever played Bond would do it just this once. Under those circumstances, casting a 'most popular choice for next Bond' actor would have been impossible because everbody in their right mind, who even had a slight chance of becoming EON's next Bond, would have stayed clear of anything connected to McClory, his favourite newspaper, his brand of car and especially his Bond project.
McClory's second problem was the financial side. He had rights, but what he needed was funds. And the people willing to make those funds available to him took a veritable risk. They'd be funding not a new Bond film but an old one updated. How well would this go down with the audiences? Nobody knew back then (the times when cinemas were crowded with rehashed roman numerals were still in the future and the suits didn't have a hunch yet how fantastic you could live in the business without ever coming close to a single original idea).
So what would casting Lazenby effectively have meant? It would have meant giving the role to the one actor who failed to convince audiences already, and that in the remake of a film that's been done less than 20 years previously. Does that really sound like a good idea? To me it sounds like climbing the Everest on a treck organized by a company calling itself 'Mountain Madness' (not that this would discourage people ; unfortunately ).
Of all the possible, perhaps unlikely but still thinkable, scenarios I really can see only Connery in the role for NSNA to take off in the first place. He was the one audiences wanted to see again and without him there'd most likely never have been another McClory project. What McClory brought to the party was only the right to call Connery 'Bond' in the film. But a film with Connery as an agent battling a villain would most likely have done just as well if Connery hadn't been called 'Bond'. Perhaps it would have done even better, used a better plot, freed itself from the restraints the 'Thunderball' project came with? Who knows?