However, Rovers soon stunned Shaun Derry's troops and the travelling support with a quickfire double inside three minutes. Veteran Jason Koumas collected a 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 his team's advantage.
Sheehan made amends for his penalty miss on the hour mark. Having previously failed from 12 yards, the skipper had better luck from 30 yards as his free kick sailed beyond Fon Williams to restore parity.
The pendulum swung Tranmere's way again six minutes from time as Jennings thumped home the winner past Bialkowski to send Rovers 19th in the standings, with Derry's men remaining bottom.