Lampard responded to Friday's reverse by Wrexham by making five changes to his starting XI, while Chris Wilder made two changes from the side beaten at home by Derby on Saturday.
McCallum's goal came slightly against the run of play but gave the away side a real impetus and Peck had a good chance to double their lead before the break only for Thomas to get a block in that took all the pace off his effort.
Coventry's best chance of the opening period came in time added on when Wright perhaps should have done better with a header than Cooper was able to hold.
That was Cooper's final action of the game though as having received treatment from the physios during the first half he did not appear after the interval and Davies was brought on for just a second league appearance since August 2024.
There was little the Wales international could have done to keep out Tatsuhiro's effort three minutes after the break, though boss Wilder will have been unimpressed by his side's inability to deal with a long throw that lacked power.
However, Davies was at fault for Coventry's second as he came for Torp's corner but did not make meaningful contact and Thomas put the home side in front on the hour-mark.
Thereafter the leaders had the better of it, although the Blades did have some late pressure without really testing Carl Rushworth in the Sky Blues goal.
With time all but up late substitute Jamie Allen sent Wright in behind the visitors' defence, though there was a suspicion of offside, and the USA international teed up Thomas-Asante to roll the ball into an empty net.
The Sky Blues visit second-placed Stoke on Saturday, while the Blades, who have become the first second tier side since Wimbledon in 2003-04 to lose 11 of their opening 14 games, welcome QPR.