However, Rovers soon stunned Shaun Derry's troops and the travelling support with a quickfire double inside three minutes.
Veteran Jason Koumas collected a Steve Jennings ball before curling beyond Bartosz Bialkowski from 20 yards on 25 minutes, while Ryan Lowe converted a Liam Ridehalgh cross shortly after to give John McMahon's troops the lead.
There was yet more drama moments later as the Magpies were awarded a penalty, only for Sheehan to watch his spot kick saved by the feet of Owain Fon Williams.
The Wales international reproduced his heroics after the half-hour mark, denying Murray before keeping out James Spencer's rebounded effort to preserve Tranmere's advantage.
The hosts would have had a 3-1 cushion at the break if not for the intervention of Murray, who produced a goal-line clearance to deny Ash Taylor from heading home a Koumas corner.