Whether fired up by Southampton’s alleged wrongdoing or not, Middlesbrough flew out of the traps with an intensity the visitors struggled to cope with.
Kim Hellberg’s side registered nine shots in the first 30 minutes and should have scored with the 10th, but Conway’s effort from five yards was brilliantly blocked by James Bree.
The Scotland forward was then released by Riley McGree as Saints carelessly lost the ball and Conway beat Daniel Peretz but struck the inside of the post.
The hat-trick of chances was completed when the ball dropped at Conway’s feet following a corner, but his left-foot close-range attempt was scuffed, allowing Peretz to claw it away.
By half-time, Middlesbrough had enjoyed 76.1% of possession, while the visitors had not had a single shot in reply or even touched the ball in the opposition box.
Having been bossed in that first period, Southampton immediately improved in the second half and could have scored with their first attempt but Cyle Larin headed over after a lovely cross from Tom Fellows.
As a raft of substitutions disrupted the flow, it was Tonda Eckert’s team who finished stronger and could have taken a lead back to Hampshire.
Harwood-Bellis, who was a rock at the other end, headed against the bar from Ryan Manning’s free-kick, while substitute Samuel Edozie was inches wide with his shot after a quick counter-attack.
A goal did not arrive, but both sides will believe they are well capable of booking their place in the final at Wembley, which takes place on 23 May.