It was a disappointing night for Chris Coleman in his first away trip as the Sky Blues lost 2-0 to Burnley, with a goal in each half taking the points for the home side.
Coleman made one enforced change from the side which beat Leicester City 2-0 on Saturday.
Kevin Thornton, who was so effective when coming on as a substitute against the Foxes, started in place of the concussed Stephen Hughes, with Chris Birchall taking the Irishman's place on the bench.
Owen Coyle made two changes for Burnley, with Ade Akinbiyi replacing Blake and Clarke Carlisle coming into the side for Stan Varga, who was suffering from a virus.
In the first chance for the Sky Blues on 10 minutes, Julian Gray lifted his shot over the crossbar following good build-up play, while Leon Best saw his shot deflected wide for a corner four minutes later.
At the other end, Burnley were also trying their hardest to break down the Sky Blues in the final third and after Osbourne had cleared Wade Elliott's cross for a corner, Marshall punched away the danger for another set piece. The Sky Blues weren't so lucky and after a goalmouth scramble, Chris McCann fired the ball home in the 20th minute to give the home side the lead.
After 28 minutes, the Sky Blues had the ball in the back of the net through Julian Gray, but there could be no complaint when it was ruled out for an offside position.
Moments later, Best shot wide after being expertly put through by Tabb, with Coleman's men struggling to break Burnley down.
The Sky Blues started the second half brightly and moments after the restart, Mifsud lifted his shot over the crossbar after good work by Tabb.
A Fox free kick was deflected for a corner on 50 minutes and from the resulting set-piece, the left-back centred the ball for Best, who directed the ball into the arms of Jensen.
Randall replaced Gudjonsson for Burnley just before the hour and he made an immediate impression, firing not far over Marshall's goal.
But the best opportunity certainly went to Mifsud in the 65th minute - the Maltese striker forcing Jensen to push the ball round his post with a stinging 20-yard drive.
Coleman made his first change of the game on 70 minutes, with Robbie Simpson replacing Tabb, although it was Burnley who nearly scored again immediately after when Randall curled his shot around the post, while Lafferty also went close for the home side.
However the misery was compounded for Sky Blues on 85 minutes when Caldwell headed past Marshall to make it 2-0 and seal the win. A late substitution for Burnley came in the shape of John Spicer replacing Ade Akinbiyi in the 87 minute. In a last ditch attempt to pull one back for the Sky Blues Simpson put a shot wide of the keeper in the 91 minute.
Burnley: Jensen; Alexander; Harley; Carlisle; Caldwell; O'Connor; Gudjonsson (Randall, 59); Akinbiyi (Spicer, 87); Elliott; McCann; Lafferty (Blake, 77)
Subs not used: Kiraly; Unsworth
Coventry City: Marshall; Osbourne; Ward; Hall; Hughes; Tabb (Simpson, 70); Thornton; Gray; Best; Mifsud.
Subs not used: Konstantopoulos; Dann; Birchall; Andrews
Attendance: 9,779
