Brighton's three-match winning run - one of which came in the FA Cup - was halted by Nikola Zigic's 90th-minute equaliser in a 2-2 draw with Birmingham in the Championship at the weekend.
Oatway believes had they taken their chances, that situation would not have arisen and has called for the team to be more clinical in front of goal.
"We are playing well but we need to start putting teams away when we get the opportunity to punish them," he told Brighton's official website.
"If we had done that at Birmingham, we would be sitting here with a couple of extra points.
"We need to start burying those chances we get and take a little bit of the pressure off ourselves, unlike what we are doing now where we are missing the opportunities then conceding."
Oatway said, despite the recent upheaval at Ewood Park with the change of manager, Blackburn were not a team to be taken lightly.
"They are a club going through a couple ups and downs but they still have some fantastic players so it's going to be a tough game to go there and get a result," he added.