Scott Dann scored from a corner for the hosts just 90 seconds into the local derby game and that goal turned out to be enough for Chris Coleman's side to complete the double over Blues this season - both games resulting in 1-0 winning scoreline's for The Sky Blues.
"I don't think there was any lack of effort from the players, " McLeish told Sky Sports News after the game.
"When you look at the second half we threw everything at them."But, the start of the game was nothing short of diabolical.
"To let the ball bounce virtually from kick-off is just very poor defending."It's cost us badly and that type of defending is going to make it very difficult for us."
With Blues chasing an equaliser McLeish substituted Cameron Jerome with recent loan signing Carlos Costly with twenty-minutes remaining, albeit to no avail.
"With the higher balls being thrown at them we felt that it wouldn't be a game to suit Cameron because his strength is his speed at getting in behind defenders and we new it was going to be more ariel stuff," the Blues boss added.
Blues did manage to get the ball in the net through Scott Sinclair in the 81st minute but after some confusion between linesman and referee the goal was disallowed for off-side against Marcus Bent.
"The linesman's flag was up very early so you would think he would have got it right, "McLeish conceded.
"Maybe Marcus strayed marginally off-side but it's the timing of the run.(Liam) Ridgewell could of released it a little bit earlier or Bent could have held his run a little bit longer.
"But I think when you're going at that pace maybe Coventry just slightly got away with it and on another day the linesman may well have played on."