Steelers had been 3-0 down at the half way point.
But Sheffield dragged themselves back into it and the power winger scored in the 52nd minute and then in overtime to gain the points.
Coventry were operating on high emotion after a shirt-retirement ceremony in honour of club legend Russell Cowley.
With the crowd behind them, they killed an early Alex Barron holding penalty and then grabbed the initiative, Marc-Olivier Vallerand skating in ahead of Davey Phillips on the right wing, switching across the crease and beating Ervins Mustukov, unassisted, at 4:58.
Blaze, 3-1 winners at Play Off spot rivals Braehead Clan, the night before then doubled their lead.
A cheeky pass from Ross Venus saw possession fall to Gaelan Patterson who, seemingly in slow motion, picked his moment to fire around Scott Aarssen and home at 11:05.
Steelers, who had again left Zack Fitzgerald out of the line-up because of they had reached the import quota level, went on the Power Play when Dax Lauwers was called for cross checking.
Mathieu Roy hit the pipework- a cameo moment apparently repeated at the other end by Coventry; although some home fans felt the puck had gone in the net.
Steelers killed a Mark Matheson four minute high sticking penalty and went looking for goals, with Eric Neiley and Colton Fretter trying to outsmart Kevin Nastiuk in the home goal.
But a 5-on-3 power play saw Blaze to go 3-2, Canadian winger Vallerand chalking up his second.
Steelers didn’t sulk, they hit back five minutes later when Neiley scored his second of the weekend, from Jonas Westerling and Andreas Valdix.
The fight-back continued on the Power Play when Ben O’Connor bashed a trademark goal home from the blue line.
Steelers came out hungry after the second break, with Valdix shooting wide and then Levi Nelson forcing a glove save from Nastiuk.
Matheson then fired through a forest of players only to see Nastiuk deny him.
But eventually the pressure told and Colton Fretter’s ingenuity teed up Marquardt at 52:29, for 3-3.
Defenceman Miika Nastiuk Franssila joined the hunt for the winner with an effort with four minutes remaining.
But it was Marquardt sealed maximum points in overtime.