The Hornets stunned City as they raced out of the blocks and opened up a 2-0 lead inside the first half-hour through Fernando Forestieri and Troy Deeney.
City fought back after the break with Sergio Aguero striking twice to level and the killer blow came three minutes from time as Jonathan Bond allowed an Aleksandar Kolarov shot to squirm through his grasp.
Aguero completed the comeback in the final minute and City left the field to a huge sigh of relief and with their quadruple challenge still intact.
Sannino said: "I am proud of my lads because today saw my team give this emotion.
"It is a little bit bitter because at 2-2 we were still in the game. We just couldn't manage the last few minutes.
"At the end of the first half I had this desire (to win) but I knew the game was not finished and we had to play for the 90 minutes, and more.
"In the second half Manchester City were unbelievable and showed us their full strength.
"I tried to change things but the quality of Manchester City is far superior than any change you can make tactically."
Sannino had no complaints about Bond, who had been given a chance ahead of Manuel Almunia.
Sannino said: "He is okay. I think he has to remember this day - not because of his mistake but because he was very good."
- Sports & Recreation
- Sergio Aguero
- Fernando Forestieri
- Jonathan Bond
- Aleksandar Kolarov