Oli Johnson's 77th minute strike sealed a valuable three points for the Glovers but extends Tranmere's run of defeats to a third consecutive game.
Parry said: "Some of the players have got to look at their performance today and ask themselves some questions.
"The fans will not be happy with the game as a spectacle. We can't concede goals like that and expect to win. We needed a spark from somewhere, but it would not come.
"We seem to be banging our heads against a brick wall. We only made their keeper make one save, and it is all very disappointing.
"It was a great finish which won it for Yeovil, but their players should not have been in a position to produce a goal like that."