Spurs were actually second best for a lot of the contest against the Foxes, with Mauricio Pochettino's men grateful for a raft of missed chances by the former Premier League champions, before they took full advantage.
"Come on, we are the most innocent people on the pitch".
In a freaky turn of events, Vardy came off the bench for Gray and walked straight up to the spot to take the penalty, only for Lloris to dive to his right and push it away to safety.
Tottenham ran out 3-1 winners against Leicester, thanks to goals from Davinson Sanchez, Christian Eriksen and Son Heung-min, maintaining the five-point gap to Liverpool and City at the top of the table in the process.
He said: "I feel so embarrassed because I can accept to play today if Dortmund play today and then we play Wednesday, but I cannot understand why we're playing with a massive disadvantage".
Pochettino felt Son had a more convincing case than the penalty that Leicester were awarded when James Maddison went down after a challenge by Jan Vertonghen.
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"We had all the opportunities to win the game".
"Maybe it was not a good thing, but we had a lot of chances, not just with this penalty".
It was not the first time a player has taken a spot-kick in the Premier League immediately after coming on with Wigan midfielder Ben Watson doing so on New Year's Eve in November 2011, sealing a 2-2 draw.
The Leicester striker was dropped to the bench by Claude Puel in the loss to Spurs, but he had a lively contribution when he was brought on after 60 minutes at Wembley.
Finally piecing together an incisive raid, Tottenham were furious when Son's penalty appeal ended in a booking for diving after Maguire stuck out a leg to halt the South Korean. Ricardo Pereira - who conceded possession in the build-up to Marcus Rashford's goal at the King Power Stadium last week - gave away the ball near his own box, allowing Fernando Llorente to set up Eriksen to fire beyond Schmeichel from 20 yards out.
Asked whether he was pleased to see Vardy taking the penalty, Pochettino said: "Now, yes, but more than the mistake of whoever shot, it was a massive save from my keeper".