Davies watched in horror as Tom Ince’s long-range attempt cannoned off him and flew into the net past Colin Doyle.
The impressive Stephen Dobbie spurned a fine chance to double the lead as Blackpool dominated the second half.
Marlon King grazed the post for Blues, who otherwise offered little and will be relieved to trail by only one goal.
Yet for all their impressive attacking play, Blackpool still have much work to do in next Wednesday’s second leg if they are to book a Wembley date.
The tie is still in the balance and Birmingham will be confident of turning the tie on its head in the return at St Andrew’s.
It could have been an even better night for the Tangerines when, on 76 minutes, the evergreen Kevin Phillips sent the raucous home crowd — not to mention boss Ian Holloway — wild within moments of stepping off the bench
In trademark fashion, the former Blues striker stole a march on his marker to head home Matt Phillips’s fine right-wing cross. But as he wheeled away in celebration the linesman’s flag went up.
Despite the look of anguish on Holloway’s face, replays proved the assistant referee’s decision to have been the right one.
Both teams are looking to make a quickfire return to the Premier League after being relegated together on the final day of last season with 39 points — a tally that would have all but guaranteed top-flight safety this term.
Blackpool finished one point and one place behind Birmingham in the Championship table, and there was little to choose between them in a thrilling first half.
Visiting keeper Doyle caused his manager Chris Hughton a few worries early on when he hurt his right shoulder colliding with a post while keeping out Ian Evatt’s powerful header. In trademark fashion, the former Blues striker stole a march on his marker to head home Matt Phillips’s fine right-wing cross. But as he wheeled away in celebration the linesman’s flag went up.