McLeish, whose men were within seconds of adding a point to the three they collected in his first match in charge at Tottenham last weekend, was unhappy with referee Rob Style's decision to award Newcastle their penalty.
Alex McLeish: "I am pretty aggrieved. I have seen the pictures. When you see it slowed down, Mathew Sadler wins the ball, follows through with his right foot on a greasy surface - and there was no way of avoiding Martins.
"There was no way Martins was getting the ball from Sadler's tackle. (Liam) Ridgewell had easily mopped it up.
"It was a pretty cruel way for Newcastle to get back into it, from our point of view.
"Maybe with a touch more belief, we could have won that game; never mind lost it."