South Africa levelled the three-match series at 1-1 with a three-run victory at Taunton after Roy was adjudged to have obstructed a throw at the stumps when short of his ground.
Roy was in full flow on 67 at the time with England seemingly well-set to overhaul South Africa's total of 174, but they fell agonisingly short after third umpire Tim Robinson decided the batsman had deliberately prevented the ball from hitting the stumps.
It was the first time in the history of international T20 cricket that a batsman had been given out obstructing the field.
England all-rounder Ben Stokes, who was not playing in the game, took to Twitter to say: "Can't believe that @JasonRoy20 was given out in that manner today....embarrassment is the only word that can be associated with the decision."
But Morgan described it as "probably a 50-50 call", saying South Africa were within their rights to appeal while at the same time raising debate about the spirit of the game.
"It was probably a 50-50 call. You could see both sides of it," Morgan said.
"Everyone in the changing room thought it could go either way so it's not massively controversial.
"You can see why the umpires gave him out. Jason obviously looked at the umpire but after that he ran in a straight line, so that's why it was a 50-50 call.
"They (South Africa) were certainly entitled to appeal and the spirit of the game is open to interpretation."
Morgan had won the toss earlier in the day as he was confident England could complete a series win by chasing down South Africa on a flat surface with small boundaries all around.
But the Irishman was left to count the cost of that decision as the game finished in real gloom at a ground with no floodlights.
"It wasn't easy in that light," Morgan said. "I would have second-guessed myself and changed it (the decision to bowl first)."
Asked if it was the darkest conditions he had played in, Morgan replied: "By a country mile."
The three-match series will now be decided in Cardiff on Sunday and Morgan took consolation from the performance of Surrey seamer Tom Curran, who took three wickets on debut against the country of his birth.
"I thought he was excellent. He bowled tough overs and has definitely put on a yard which makes his slower balls and variations more effective," Morgan said.
"He was very impressive and kept his head very well.
"'We were going really well for much of the chase but we lost a wicket at a crucial moment and nobody was able to take it up after that.
"We didn't deserve to win because we didn't capitalise on the start we had."
South Africa's Chris Morris was named man of the match for his decisive four-over spell of two for 18.
And Morris defended the Proteas' appeal against Roy after the England opener had been struck by Andile Phehlukwayo's throw.
"It's part of the rules," Morris said. "It looks a lot worse than it actually is with us appealing like that, but you've got to appeal to get a decision from the umpires.
"It did look a bit suspicious when he was looking at the ball, though it's a very unfortunate way to get out.
"We'll take it and run, but the on-field umpire told me at the time that the right decision was made."
