The former Real Betis manager, who signed an 18-month contract at the Midlands club on Thursday, took a watching brief on Saturday as his new side's unbeaten Premier League run of four matches came to an end.
Caretaker manager Keith Downing had led the visitors to a win and three draws in his four games in charge, but his last match at the helm ended in disappointing defeat following a lacklustre display.
England international Lallana struck the only goal of the game midway through the second half, collecting Gaston Ramirez's superb clipped pass to slot home and hand Southampton just their second win in 10 league games.
Both teams made three changes from their previous league outings, Artur Boruc returning from a hand injury in goal for the hosts – who also brought Rickie Lambert back in.
Shane Long, the subject of ongoing interest from Hull City during the transfer window, came in for West Brom to partner Nicolas Anelka in attack.
In a first half devoid of goalmouth action, Lallana and Lambert were the only men to muster efforts on target, both players seeing their shots from distance comfortably saved by Ben Foster.
West Brom’s best openings came on the counter-attack, but a lack of composure let them down and Mel will not have been enthused by his new side’s slack play.
Long should have earned a point for his side with a minute remaining, sidefooting straight at Boruc from six yards out after being picked out by Liam Ridgewell's ball from the left as West Brom's afternoon ended in frustration.
