The forward felt officials missed a clear foul on the Portuguese, while defender Marcelo claimed his side could even have been awarded two spot-kicks
Los Blancos appealed for a spot-kick in the first half when Victor Valdes spilled a Sami Khedira shot against the arm of Adriano, before Cristiano Ronaldo was barged to the floor by Javier Mascherano inside the area in the second period.
Both incidents were waved away by Undiano, with Neymar and Alexis Sanchez setting the Blaugrana on the road to victory before Jese's injury-time consolation.
“It was a blatant penalty on Cristiano Ronaldo," Jese, 20, told the club's official website after the game. "I was right on the touchline warming up and I saw it clearly. If he had controlled it he would have been open. Refereeing is extremely difficult but there are things that are easy to see."
Madrid left-back Marcelo was equally infuriated and claimed his side could even have won two penalties had decisions gone in their favour.
He said: "The goal was to win, but there are things that work against us that we can’t do anything about. In my opinion there were two blatant penalties. We know that something is always going to happen but there’s nothing we can do about it.
"We’re going to keep working with our heads held high and now we have to think about Sevilla and winning that game. We know that we’re Real Madrid and that we have to forge ahead."