Jermaine Easter also scored twice to add to Blackpool's misery after their 6-0 Premier League defeat at Arsenal on Saturday.
The home led in the first minute through Sam Baldock before Brett Ormerod brought the visitors level after the break.
Easter then netted twice in as many minutes before a free-kick from Ludovic Sylvestre gave Blackpool a lifeline.
Ormerod also had two close-range efforts disallowed for offside before a late penalty from substitute Charlie Adam took the game into extra-time, when Guy struck the winner.
Holloway had chosen to miss the game at stadiummk in favour of watching a transfer target elsewhere, leaving his assistant Steve Thompson in charge.
MK Dons manager Karl Robinson, who had seen his side beaten 4-1 by League One leaders Carlisle at the weekend, gave a start to Mathias Doumbe whose fellow defenders Jude Stirling and Pele were both out. Striker Aaron Wilbraham was also missing for the home side.
Baldock opened the scoring with his second goal of the season with a shot from 18 yards after being set up by Sean O'Hanlon's pass and he could have made it 2-0 after half an hour but shot wide from close range following Dean Lewington's low cross.
Midfielder Angelo Balanta fired a shot wide and another over the bar as Blackpool's only efforts on target came from a free-kick and a long-range shot by Ishmel Demontagnac but both were held by David Martin.
Baldock should have had his second on the half hour when Lewington sent in a low cross but the striker missed from six yards.
Demontagnac continued to be Blackpool's most potent attacking force but his long-range shot was again held by Martin.
Blackpool thought they were level five minutes into the second half when Demontagnac cut inside on the left and hit a shot which Martin tipped on to the post. Ormerod was on hand to tap in the rebound from close range but his effort was disallowed for offside.
The visitors were level two minutes later when Neal Eardley whipped a cross to the far post and Ormerod headed in from six yards.
MK Dons led once more soon after when Easter reached a through-ball from Balanta and took it around Halstead before shooting into an empty net.
Easter doubled his tally a minute later after playing a one-two with Baldock and slipping the ball past Halstead.
But Sylvestre's free-kick to the far post went straight in to get Blackpool back into the tie.
Eardley could have levelled the scores but after good work he could only hit his shot straight at the advancing Martin as the visitors dominated the late stages of the game.
Scotland international midfielder Adam came on with 18 minutes to go as the visitors looked to level the game up.
Blackpool were awarded a penalty following a melee in the box and Adam netted the spot-kick with 10 minutes to go.
Ormerod had another effort disallowed for offside and Demontagnac also hit the post as the game went into extra-time.
MK Dons' Peter Leven fired a free-kick over the bar and Adam had a chance as the first period of extra-time came to an end but he also fired his shot over.
Substitute Guy, on for Dietmar Hamann, netted with just over 10 minutes of extra-time remaining after Easter was involved in the build-up.
Adam pulled the strings as Blackpool pushed for another equaliser, but the MK Dons held on.