Portugal Under-21 international Joao, 21, has signed a four-year deal with the Championship side.
Meanwhile, Lees, 24, will now remain at Hillsborough until the end of the 2018-19 season.
The former Leeds man made 44 league appearances for the Championship side last campaign.
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Sheffield Wednesday have signed striker Lucas Joao from Nacional for an undisclosed fee while defender Tom Lees has signed a two-year deal extension.