City had previously been unable to match their imperious form at the Etihad Stadium on the road this season, with one win, one draw and four defeats in six Premier League attempts, but Sergio Aguero and Yaya Toure found the net in a scintillating first-half performance against the Baggies.
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After Toure added his second from the penalty spot, West Brom mounted a late rally through Costel Pantilimon's own goal and a strike deep into injury time from substitute Victor Anichebe, but City held on.
And Pellegrini insists City have not been too far from the mark in recent defeats on their travels.
"I think we played really well but in other games we played as well as we played. For some reason we didn't score two goals as we did [in the first half]," the Chilean told reporters.
"We had also a lot more chances to score. It was, really, 45 minutes without one error.
"I think it was not so close a match as the score says but all of us were maybe thinking of the next game before we finished this one and in football you are never finished.
"They scored two goals in the last four minutes and that is why it's 3-2 but I think that we had more advantage in the whole game."
The prospect of City recreating their form from the Etihad Stadium would be enough to send shockwaves through the Premier League, but Pellegrini is not interested in making such bold statements.
"We're not trying to send a message, we're trying to add points," he added. "That is more important.
"All the other teams have important games. For our team it was very important to win away and we will try and do it also on Saturday before we play against Arsenal at home."