Lavery, who played wide on the right in a three-pronged attack, added that Ian Baraclough’s men will be disappointed with the result despite their late fightback.
Prior to June’s quadruple-header, manager Baraclough had targeted four wins from four games.
However, an opening-game defeat by Greece was following by a drab draw with Cyprus before Thursday’s loss in Pristina.
“We’re obviously going to be disappointed with the result but I thought we showed great character to come back from 2-0 and 3-1 to have a real chance of nicking a draw at the end,” added Blackpool striker Lavery.
“I thought our performance was a lot better and if you are going to lose a game of football it is that way.”
Glentoran winger Conor McMenamin had a late chance to equalise on his first start for his country and shared Lavery’s disappointment following the defeat.
Baraclough took over from Michael O’Neill in 2020 and his record stands at three wins and 10 defeats from 19 competitive games.
“We’re on that sort of run at the minute where every little mistake gets punished and the ball won’t go in the net up at the other end,” he added.
“On another night we could have walked away with at least a draw. It’s a pity we didn’t get a result to give the travelling fans something to cheer about.”