Jack Collison's first-half double for the Hammers makes them clear favourites to qualify for the Wembley final, with the second leg at Upton Park to come on Monday.
But Mackay said: "In the second half we were much more on the front foot. On another day the chances would drop in.
"Coming off the pitch there's disappointment because of the effort they did give – especially second half when we did have those chances.
"It would really change momentum if one of them goes in next week. Nervousness kicks in like it did in the first half with us."