However, Halsey judged the offence to have been committed outside of the area and awarded a free kick.
Steven Fletcher pulled a goal back for Wolves in the final minutes, but the home side had an equaliser disallowed when Matt Jarvis was adjudged to have not kept the ball in play before Kevin Doyle converted.
"It certainly compounds the misery that I'm feeling for losing our fourth game on the bounce and third game here," McCarthy told Sky Sports News.
"We have fingers to point at ourselves because of the way we conceded the first two goals, but it should have been a penalty, quite clearly.
"Mark (Halsey) said he didn't want to guess, well, he did guess. He got it wrong, didn't he? There was no guessing involved, it should have been a penalty."
The defeat has left the Midlands club in 12th place, while Newcastle have moved up into third in the Premier League table.