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The second half substitute almost won the game in the normal time, missing a chance in the 90th minute to give the London club a famous 3-2 win.
But Devenny redeemed himself in the shoot-out by scoring the winning penalty.
It was a proud day for Devenny, who was an unused substitute in Palace’s FA Cup Final win over Manchester City in May.
The Scottish-born midfielder who qualifies for Northern Ireland has been capped five times by Michael O’Neill.
The 21 year-old made his senior debut in a 2-2 draw against Luxembourg in November.
At Wembley, Liverpool summer signing Hugo Ekitike opened the scoring on his competitive debut in the fourth minute, assisted by another new addition, Florian Wirtz, before Jean-Philippe Mateta drew the sides level with a 17th-minute penalty.
Arne Slot’s Premier League champions restored their lead four minutes later through another debutant, Jeremie Frimpong, before Ismaila Sarr’s 77th-minute equaliser forced penalties.
Palace won the shoot-out 3-2 with Devenny scoring the decisive penalty.
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