SUBSTITUTE Sam Edozie struck to spare Saints a point with a 1-1 draw after they had gone behind at Coventry City.
The two sides were close run during a flat first 45 minutes but the hosts opened through American striker Hadji Wright shortly after the break.
It only took 15 minutes for Edozie to combine with fellow substitute Ryan Fraser and level the scores with plenty of time left for a winner.
However, Saints did not test goalkeeper Brad Collins again while Coventry dominated seven minutes of added time without reward.
Midfield anchor Flynn Downes was still unavailable to Martin, after being ruled out of Saturday's 1-1 draw with Watford through illness.
That draw saw Saints match their 12-game unbeaten run under Nigel Adkins, recorded last time they were in the Championship.
Martin had never lost to Coventry City as boss in five previous meetings, in charge of MK Dons and Swansea City - but they had won three of their last four coming into Wednesday.
The absence of Downes meant Shea Charles and Joe Aribo both kept their place, while returnee Will Smallbone came in for Charly Alcaraz and dropped to the base of the midfield.
Stuart Armstrong operated centrally just behind the two strikers and was denied a free-kick in a dangerous area early in the contest.
Referee Ben Toner had a lot of decisions to make, with Adam Armstrong and Jan Bednarek both seeing penalty appeals waved away and Smallbone lucky after a rash slide in the area.
Southampton's play was patient and they waited for their chances to open Coventry up, but efforts from Ryan Manning and A Armstrong were blocked and over respectively.
Coventry's physical strike pairing Ellis Simms and Hadji Wright caused problems of their own, with the former hitting a one-on-one straight at Gavin Bazunu just before half-time.
That reprieve did not last long into the second half, though. Aribo, Smallbone and Manning were caught in a mess on the halfway line.
The Irishman gifted possession and then failed to make a cynical foul and prevent the swift counter, which Wright finished across Bazunu for the opener after 51 minutes.
Martin responded with two changes and they combined for the equaliser just a quarter-of-an-hour later, with Edozie firing his third of the season from close range.
Fraser was released by S Armstrong with space down the left and, similarly to Saturday, the winger's cross went all the way through to the back-post via A Armstrong.
Saints could have taken the lead but A Armstrong blazed well over from inside the area - a chance he should have done better with.
It was Bazunu who was busiest in the closing stages, producing one fine save in seven minutes of added time to keep hold of the point.
Coventry City: Collins, Thomas, Sakamoto, Allen (Dasilva, 81), Simms, O'Hare (Palmer, 81), Wright, Sheaf, Kitching, Bidwell (Eccles, 81), van Ewijk.
Unused subs: Wilson, Binks, McFadzean, Latibeaudiere, Godden, Ayari.
Saints: Bazunu; Walker-Peters, Harwood-Bellis, Bednarek, Manning; Smallbone, Charles (Edozie, 60), Aribo (Alcaraz, 90), S Armstrong; A Armstrong (Mara, 90), Adams (Fraser, 60).
Unused subs: Lumley, Stephens, Holgate, Bree, Dibling.
Booked: Walker-Peters, Bednarek, Aribo.
Referee: Ben Toner.
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