The Cottagers were just seconds from leaving the competition when Kieran Richardson cancelled out Nathan Delfouneso's opener deep into stoppage time.
Brede Hangeland's header settled the tie after an entertaining extra time period where both sides tried to win the game without the need to go to penalties, and Jol was understandably delighted with the final result.
"It's always a relief," Jol told the club's official website. "We did OK under the circumstances against a good team with some talented players. We should have won it at home as we put so many crosses and opportunities in the final third but we couldn't score.
"Then you have to go away from home to a difficult place. Their coach at the time (Michael Appleton) said their pitch is probably 10 times worse than you could imagine so we were prepared for that.
"But we still tried to play; that is the only thing you can do. But you still have to score a goal and a problem occurred in the 83rd minute which was very disappointing. So to see us come back 30 seconds before the end and then to score the winner was great."
Jol reserved praise for substitute Richardson and admitted he had rested a couple of key players following a busy spell of games with an important Premier League fixture against Manchester City to come next Saturday.
"That was exactly what I had in mind when I put him (Kieran) on but nine out of 10 times it won't come off," Jol added.
"He's a quality player so I'm pleased for him. He was one of our best players on Saturday when he played at left-back against Wigan Athletic but I wanted to rest him tonight. I knew I could call on him if I needed him, though.
"Berbatov felt tired - he's played a lot of games and Ruiz had a little bit of a problem with his hamstring again, so I had to rest those two and play Mladen Petric and Hugo Rodallega up front."