The Stags keeper made two saves as Stags won 5-4 on penalties following a 1-1 draw over 90 minutes and they remain unbeaten this season.
“With the belief we have this win is not a shock to us as a group,” said Pym.
“The way we've started the season we have been on good form and we backed ourselves to do well coming into this game.
“You can see how comfortable the boys are on the ball. We didn't panic once tonight. We played our stuff and put them under pressure as well.
Pym said keepers always get the hero tag in shoot-outs but he felt the whole side were brilliant on the night.
“It's always nice but as the goalkeeper you're always going to be the one that is going to be the hero at the end of the day,” he said.
“It's just nice to make that one save. You don't want to go through a penalty shoot-out and not save one.
“I knew once I saved one we were going to go on and win.
“I had fancied us to go on and win the game in normal time. I thought we were brilliant – a Championship side couldn't get near us.
“With the quality they've got they're always going to get one or two chances but we limited them to not too many and on the ball I thought we were excellent.”