The only thing was, United had not won - indeed, they had failed miserably and been held 1-1 by Southampton at Old Trafford.
But by lying to his players, Pellegrini had ensured that they were sufficiently fired up to beat West Ham 3-1 at Upton Park with a rip-roaring second half display.
The fib clearly worked a treat as City recorded their first away win in the Premier League this season to give them a big boost, leaving the club just three points behind leaders Arsenal and five ahead of rivals United.
Pellegrini's 'little white lie' was telling his charges that they simply had to beat West Ham because United had got back on track with all three points, as revealed by defender Micah Richards.
“Maybe it was a bit of reverse psychology! We just knew we had to win."
We're going to skate right over Richards' misunderstanding of what 'reverse psychology' actually means. And in any case, it sounds WAY better than just boring old 'psychology', right?
The City defender went on to explain that he could see what Pellegrini was getting at, since he expects tough times ahead at the top of the table.
"Liverpool look strong and Arsenal just keep winning and United will come strong," he said.
"People always say Arsenal will blow up, but when a team gets that confidence going it’s hard to stop and they will do well this season."
Richards has also refused to rule United out of the title race despite them falling eight points off the pace with the draw against Southampton.
"It will be hard for them, losing Fergie," he said. "But I think in time David Moyes will get it right because he is a fantastic manager.
"Let’s not kid ourselves, Fergie is probably the best manager ever. He’s probably like having a 12th man in your team."
He may have lied to his players, but Pellegrini clearly knows how to motivate his players when they require a boost at half-time.
The only trouble will come when he attempts to tell them again that United have won, because they are unlikely to believe him. But no doubt the wily Argentine will come up with another 'reverse psychology' trick to get round that very problem!