The Napoli forward was brought down from behind by Abdiel Ayarza on the hour mark, and Panama defender Fidel Escobar then stepped on Lozano's ankle as he was falling to the ground.
It was Escobar's challenge that appeared to injure Lozano, who was down on the ground for several minutes receiving treatment.
The 24-year-old eventually had to be stretchered off the field and was replaced by Jose Juan Macías with the match tied 1-1.
While Lozano iced his ankle on Mexico's bench, Macias made a major impact by scoring the game-winning goal on 75 minutes. Rodolfo Pizarro would add another goal in stoppage time as El Tri defeated Panama 3-1 at the Estadio Azteca.
It was Mexico's second win from two Nations League matches after El Tri defeated Bermuda 5-1 on Friday.
With the international window over, Napoli will now face a nervous wait to find out the extent of Lozano's ankle injury.
Lozano has become a regular for Napoli this season after completing a summer move from PSV for a reported €42 million (£38.5m/$47m).
After joining PSV from Mexican side Pachuca in 2017, Lozano became a star in the Netherlands by tallying 40 goals and 23 assists in 79 appearances.
In eight appearances for his new club, Lozano has scored one goal, which came on his debut for Napoli against Juventus on August 31.
That goal continued a remarkable string of debut goals for Lozano, as the El Tri star also netted in his first game for Pachuca and PSV, as well as on his competitive debut for Mexico.
The Mexican will now be a major doubt for Napoli's first game back from the international break, a home match against Verona on Saturday.
Carlo Ancelotti's side currently sit in fourth place in Serie A, six points behind table-topping Juventus.