McSheffrey blasting his spot-kick into the roof of the net with just three minutes on left the clock, beating sub keeper Jake Cole after he had been brought down by Simon Royce.
It ended the Sky Blues' record as the only club in the Championship to have failed to win away this season, having last won at Watford last March.
But the result was a blow for home boss Ian Holloway, who had to watch his thrown-together side blow a host of chances.
But the QPR manager is unlikely to get much joy in next month's transfer window after the club narrowly avoided plunging back into administration last week.
Chairman Gianni Paladini was forced to make an emergency last-ditch payment of £500,000 to the Inland Revenue on Friday to make a dent in a £1.58million tax bill.
On the pitch things were not going much better for Rangers, who last won at home against Norwich on October 21.
Coventry boss Micky Adams made one change to the side that beat Millwall 1-0 nine days ago with Don Hutchison making his first start for the Sky Blues.
Holloway was forced to shuffle his strikeforce due to Paul Furlong's suspension for amassing five yellow cards and Georges Santos started up front with Stefan Moore.
Even though Holloway has an injury list as long as his arm, his side made a lively start.
They almost went ahead after just two minutes when Gareth Ainsworth's header was tipped wide of the post by Marton Fulop.
Makeshift striker Santos then wasted a golden chance on 18 minutes when he hacked atmop-haired winger Ainsworth's cross, which Moore had dummied.
Moore again dummied on 22 minutes but was let down by another team-mate's poor touch, this time Ian Evatt being the culprit when he missed the ball completely.
Robert Page had Coventry's only chance of the first half on six minutes, when Dele Adebola flicked on a poor Marcus Bignot clearance but the Welsh international's shot rolled wide.
After the break both sides came out firing and it was Rangers who again carved out the first chance on 55 minutes when Santos crossed for Moore, who just failed to connect.
Ainsworth then headed over the bar from Moore's cross after Richard Langley's useful run up the pitch and sub Lee Cook had a shot saved on 70 minutes.