Owls striker Lowe was denied by Blackpool goalkeeper Matt Gilks in the second minute and the visitors went on to secure a comfortable 3-0 fourth-round replay win on Tuesday night thanks to first-half goals from Matt Phillips and Lomana LuaLua and Ludovic Sylvestre's strike after the interval.
Megson felt Lowe's miss was a significant moment, but acknowledged the better team won on the night.
He said: "We had a great opportunity in the first few minutes and if that goes in, I'm not saying the result would have been different, but I think our performance would have been different.
"They took their goals brilliantly and I thought they were a class act with the way they kept the ball."
