It has been a slow transfer window for Arsenal, who have been linked with Celtic full-back Kieran Tierney, Saint-Etienne teenager William Saliba and Crystal Palace star Wilfried Zaha.
Asked about Spain international Ceballos on the eve of Tuesday's International Champions Cup clash against Madrid in Maryland, Emery told reporters: "We were speaking about the possibility to sign one player on loan and we have different names.
"The club was working on that. Ceballos is a very good player, I know him from Betis at the beginning and also at Real Madrid.
"He played very well with the under-21s, they won with his national team in this competition."
Arsenal head into Tuesday's match having won all three of their pre-season games in the United States.
The Gunners have beaten Colorado Rapids (3-0), Bayern Munich (2-1) and Fiorentina (3-0), with a number of their youngsters impressing – Eddie Nketiah with three goals so far.
"We started to play against Colorado Rapids with a lot of young players and progressively we are using less minutes and to share with the experienced players," Emery said when asked about Arsenal's young players.
"It depends on the matches. Tomorrow, at the beginning I want to take more minutes with the players thinking about our progress for the first match against Newcastle.
"But also, we are going to use some young players at the beginning or during the match to continue trying with this difficult capacity against Real Madrid."