The incident the former Manchester United defender was referring to came midway through the first-half when Joe Willock collided with Daniel James inside the box.
Referee Mike Dean waved away the Leeds appeals, while VAR also choose not to intervene.
Neville told Sky Sports: “I thought it was a penalty in real-time and you watch it again, I think it’s an absolute stonewall penalty.
"If I was Leeds, I’d be really annoyed. It’s 23 minutes in, you go 2-0 up. Newcastle, at that point, had only one shot on target.
“From that point, Newcastle grew. It was a big turning point but for us, the neutrals, it certainly makes for a better game.”
Leeds led 1-0 from Raphinha’s opener before Allan Saint-Maximin equalised for the home side.