Spurs will take a narrow lead to the Etihad Stadium after Son Heung-min's second-half strike secured a victory in the first leg of the Champions League quarter-final.
Sergio Aguero had the chance to open the scoring from the spot after only 13 minutes, but Lloris repelled the City striker's effort with a save to his left.
Sissoko was full of praise for his captain, who was at fault for Liverpool's last-minute winner in the Premier League on March 31, when he palmed Mohamed Salah's header off Toby Alderweireld and into the net.
"Hugo is an unbelievable keeper and he shows it every week," Sissoko told Spurs TV. "We are very lucky to have him with us, so hopefully he can keep going in that way until the end of the season."
Lloris is no strange to saving from penalties. The Spurs goalkeeper has come out on top in all three penalty situations he’s faced since the start of 2019, while no player has missed more penalties in the Champions League over the last 10 years than Sergio Aguero.
Sissoko thinks Spurs wanted the result more than City, as they became the first team to beat Pep Guardiola's side in any competition since Newcastle United on January 29.
When asked what the secret to their winning performance was, the midfielder replied: "I think our desire.
"We work as a team from the beginning to the end and Hugo kept us in the game with this big save. I think we can all be happy about the performance and we need to keep going.
"We are very happy about the performance. We knew it would be a tough game. City are one of the best teams in the world.
"But we were playing at home, in front of our fans, in this amazing stadium, so we knew we could do it. It was a very tough game, but we won."