The 21-year-old joined the Swans from Northern Irish side Cliftonville in 2011 where he scored 22 goals in 54 appearances.
Sky Blues boss Steven Pressley said: "We believe Rory has fantastic potential and will add a lot of quality to our group.
"We're delighted to bring him in on loan until the end of the season and it is a huge boost to the squad to get him in.
"I believe our style of play will suit him. I have said that I wanted to bring in strikers throughout the window and after securing Nathan Delfouneso, this creates real competition up front."