The incident, when Adam Johnson's cross struck Gareth McAuley's arm in the area, followed the award of a penalty for West Brom, from which Romelu Lukaku scored the opening goal.
Craig Gardner's arms were in the air for the first incident, however, whereas McAuley's arms were by his side.
"My opinion is that they were both penalty kicks," O'Neill said.
"With West Brom's, even though the ball has hit Craig Gardner close in, we were told at the start of the season that with that sort of incident that if you were putting your hand in the air then that is a penalty.
"At the same time, it was a penalty at the other end.
"It was the same situation and therefore the referee should have given it."
The result saw the gap between Sunderland and the relegation zone narrow to five points.