The former Nottingham Forest and Grimsby Town striker came on as a second half substitute and rose high at the back post after Phil Jagielka crossed to head home the match winner in front of the kop.
Sky Blues will have felt hard done by as neither side looked impressive and on fair reflection a draw would have been a fair result. Though it looked as though it would end 1-1 as former Blades striker Patrick Suffo canceled out Michael Brown's penalty in 67th minute.
United's opener came on edge of half-time, Peter Ndlovu put in a lung busting run after Allison knocked in a free-kick but defender Yazid Mansouri brought down the Zimbabwean International. After four minutes of time wasting MICHAEL BROWN slotted home the penalty.
The penalty decision infuriated Coventry coach Eric Black who was sent off by referee David Crick, who so disappointed booted a box of water bottles.
United enjoyed tones of possession early on but but it was Gary McAllister who came close, his free-kick tested debutant Paul Gerrard.
On 12 minutes the red and white wizards should have gone ahead, Michael Tonge supplied a beautiful cross and was headed by the unmarked Chris Morgan by the former Barnsley defenders header shot off the post and somehow was cleared to safety.
Dele Adebola caused problems for the United defence and was very much involved with McAllister's side footed shot which Gerrard had to save as it looked goal bound. Gerrard then made another save from Adebola's left-footed effort.
Eventually after brilliant play it was the home side who took the lead through Michael Brown after Ndlovu was brought down.
Half-Time: Sheffield United 2-1 Coventry City
McAllister had his players back on the field early for the second half and they set about the hosts with real purpose. Within minutes, Suffo had turned and fired a shot across the face of Gerrard's goal, and with their next attack, Adebola's drive whistled wide of the United upright.
United finally sparked into life in the 65th minute when Peter Ndlovu raced onto a Stuart McCall through-ball, jinxing past Davenport, but his left-footed shot squirmed narrowly wide.
But within two minutes City had restored parity. From a long kick forward from City keeper Scott Shearer, PATRICK SUFFO cleverly controlled the ball and unleashed a fierce left-footed shot that crashed against the underside of the bar and flew in, with Gerrard having no chance.
Garyn McAllister, full of energy throughout, almost grabbed the headlines with six minutes of normal time remaining, but his 20-yard screamer was narrowly wide.
Instead the glory was left to JACK LESTER, whose powerful header was a cruel blow for Coventry, who will have left the steel city wondering how they failed to take anything from a game they largely dominated.
Full-Time: Sheffield United 2-1 Coventry City