VAR Michael Salisbury checked and cleared the incident after deciding it was not a clear and obvious error, but O'Neil claimed afterward that Select Group 1 Manager of the PGMOL Jonathan Moss admitted it was a mistake.
"I was told live that they didn't think that it was a clear and obvious error," O'Neil said. "But having spoken to Jonathan Moss, and fair play to him for coming straight out, he has apologised and said it was a blatant penalty that should have been given.
"I feel bad because he has come out honestly. I spent the afternoon with him, trying to understand the new guidelines and trying not to get myself booked with the new guidelines, which I failed to do.
"Fair play to Jon saying it was a clear and obvious error. He can't believe the on-field referee didn't give it and VAR didn't intervene. That probably makes me feel even worse. Once you know you're right, you feel worse leaving with nothing."
Wolves were unlucky to come away with no result from the game after having 23 shots against United, including six on target. O'Neil said he felt Onana could have "taken our striker's head off" with the challenge, but United boss Erik ten Hag disagreed.
"When VAR looked at it and decided not to give it, of course we are pleased with it," Ten Hag said. "I don't feel I have to react on his [O'Neil's] interpretation. It's about the referee and the VAR.
"I think the two players from Wolves come together and Andre didn't interfere with the action from both of them. First is the touch of the ball and then came Andre."
Wolves' shot total was the second most against United at Old Trafford since data was first collected 20 years ago, which O'Neil said was testament to his side's confidence to attack.
"In the end we can't just focus on that [penalty] decision," O'Neil said. "To come to Old Trafford and have the most shots of any side since 2005 and dominate after just four days of work [in training] is exceptional. The lads deserved more tonight."