Lennon's men were leading 2-1 when Gary Mackay-Steven was harshly adjudged to have been brought down in the box by Adam Matthews, but Fraser Forster made a fine save to deny Jon Daly.
And the Celtic boss was able to joke about the decision after the game, the result meaning his side move 18 points clear at the top of the Scottish Premier League.
"I wish Bobby had been refereeing on Tuesday night," he said.
"It was never a penalty. It is a great recovering tackle. I've seen it again. I think he (Bobby) said he tugged his shorts or shirt but he didn't, he recovered brilliantly and won the ball cleanly, there was no contact."
Commenting on his side's stunning display, Lennon added: "We scored six goals and it could have been a lot more.
"I think the players, off the back of Tuesday, wanted to put in a strong performance. That's not easy, they would have been hurting, but they picked themselves up very well and some of their football was fantastic.
"We went out and played like a Champions League team today."
Dundee United boss Jackie McNamara was "disappointed" after suffering his first defeat as United manager following wins against Rangers and Hearts.
The former Celtic defender said: "I was disappointed with the goals we lost and they obviously got a lift from us missing the penalty.
"I thought their keeper had a few good saves but the goals we lost were soft."