Sunderland slipped to another defeat going down to a solitary goal margin at Blackburn's training ground on Saturday.
The Young Black cats were seconds away from coming home with a well-earned draw but the hosts nicked it in the last dying seconds.
Blackburn started the brighter and took the lead due to a Sunderland defensive error in the 12th minute.
The visitors fought back but rarely tested the home keeper.
However, Sunderland did hit back to level the game 50minutes in when Allen beat his man to put the ball through to Connelly to slot home.
The Young Black continued to press for a winner, taking the game to Rovers but were cruelly denied a point in the dying seconds with the hosts sneaking the winner.
Coach Mark Atkinson said after "I thought we had done enough, the second half we were the better side and to lose it the death was devastating, I feel for the lads."
Sunderland: Patterson, Gamble, Taylor, Young, Krushnell, Hickey, Hackett, Allen, Connelly, Diamond, Best (Kimpiola 65).
Subs not used: Woud, Howard, Leonard.