Having already opened the scoring, the Italian then netted an 88th-minute winner at the Britannia Stadium to bring his total haul for the season to nine in all competitions.
The 29-year-old joined the Saints for a reported £8m from Feyenoord in July, and Koeman says that his talisman is proving money well spent.
"Pelle is a great player and showed his qualities, not only scoring, but as a target man," he told reporters.
"Little by little the players are learning how to play with Pelle. He's been a great signing for us."
Shane Long had added to his strike partner's opening goal as Koeman's side took a 2-0 half-time lead and looked well on their way to the quarter-final of the competition.
Peter Crouch was sent off for a second yellow card minutes later, and Pelle struck directly from that free kick to send Southampton into the last eight.