Nigel Adkins' men had stormed out in a bid to maintain their 100% record with Ricky Lambert netting a double in the opening 11 minutes and David Connolly making it 3-0 before half-time.
The home side refused to give in and hit back through Keith Andrews on 56 minutes and a Jay Emmanuel-Thomas strike five minutes later, but it was Lallana who stole away in the final stages to calm Saints' nerves.
Ross McCormack scored a 17th-minute opener as Leeds shrugged off their dreadful start to their new campaign and claimed their first points of the season with a 4-1 thrashing of Hull at Elland Road.
Simon Grayson's men had gone into the game with the pressure mounting after successive losses to Southampton and Middlesbrough and disciplinary problems after ending the weekend game against Boro with nine men.
Tom Lees' own goal temporarily pegged back the home side after McCormack's strike but Lees scored at the right end five minutes before the break and second-half strikes from Robert Snodgrass and Ramon Nunez put the gloss on the win.
Middlesbrough's Marvin Emnes netted his sixth goal of the season as his side maintained their unbeaten start with a come-from-behind 3-1 win over Barnsley at Oakwell.
A Stephen McManus own goal gave the home side the lead on four minutes but Scott McDonald and Barry Robson replied in quick succession and Emnes' effort one minute before the break proved the clincher.
Emnes had found the net against Portsmouth and Leeds already this season as well as hitting a hat-trick in last week's 3-0 Carling Cup win at Walsall.
Sam Allardyce's West Ham laid down their marker by crushing Watford 4-0 at Vicarage Road. James Tomkins and Joey O'Brien scored in the first half with Carlton Cole and Scott Parker sealing an emphatic win.
A stunning late fightback by Crystal Palace left Coventry still pointless at Selhurst Park. Lukas Jutkiewicz looked to have given the visitors victory before Sean Scannell and Jermaine Easter both scored in stoppage time to give the Eagles a 2-1 win.
Chris Gunter's 31st-minute header gave Nottingham Forest their first win of the campaign in a 1-0 win at Doncaster, who remain pointless. Portsmouth also won for the first time, with Dave Kitson scoring the only goal at Fratton Park against his former club Reading.