Romelu Lukaku's two goals lifted West Brom to the 40-point mark for the campaign as they registered their first home win for two months.
The on-loan Chelsea striker reached 12 goals for the season, firstly from the penalty spot and then when charging down a clearance from Sunderland goalkeeper Simon Mignolet.
The Black Cats set up a tense finish through Stephane Sessegnon's reply but Albion held on to keep up their challenge for a European place.
O'Neill insisted his side should have been awarded a penalty for handball by Baggies defender Gareth McAuley.
He said: "I felt we should have got something out of the game. That's the last three matches we've played where we shouldn't have been beaten.
"The big decision was the penalty kick which was given against us. But then there was a similar situation at the other end where it wasn't given. I've seen both of them back. Both are penalties.
"Their penalty gave them big lift. They got the help of a bizarre second goal. But we were never out of the game.
"We should've scored two or three times before West Brom's second goal."
O'Neill acknowledged Lukaku's contribution and added: "Lukaku was very strong and he looks like he has a good future ahead of him. He was a handful."
- Sports & Recreation
- West Brom