The visitors looked to be cruising to victory through first-half goals from Brian McLean and Juvel Tsoumou.
Late goals from Phil Jevons and Kevin Ellison pulled the Shrimps level and sent the tie to penalties.
North End came out on top, winning a dramatic shoot out 7-6 to the delight of a big away following.
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Andrea Arestidou made two saves in the shoot out, redeeming himself after it was his error which gifted Morecambe their first goal and a way back into the game.
The 4,385 crowd was kept entertained from the first whistle and PNE took the lead with just two minutes and seven seconds played.
Some of the travelling faithful missed the goal as they were still queuing to get in, a clogged-up Lancaster city centre on the journey up having delayed their arrival.
Paul Parry delivered a free-kick into the box which centre-half McLean rose to head into the roof of the net.
Morecamble midfielder Stewart Drummond put a shot wide as the home side looked for a quick reply.
North End doubled the lead in the 21st minute.
Keammar Daley lifted a ball over the top of the Shrimps defence to leave Tsoumou with a clear run.
The German striker chested it down before firing past keeper Barry Roache.
Morecambe worked their way into the game, Lewis Alessandra forcing a save from Arestidou.
They still trailed going into the final seven minutes before two goals flipped the games on its head.
In the 83rd minute, Jevons chased a through ball which Arestidou came to the edge of his box to clear.
He lost possession to Jevons who was left with the task of rolling a shot into an unguarded net.
In the second minute of stoppage-time, the Shrimps equalised. Will Haining lifted a ball into the box which substitute Ellison controlled on his chest and superbly volleyed past Arestidou.
With no extra-time in the competition, the tie went to penalties. Both teams scored their first two spot kicks, with Parry, Lawrence Wilson, Adam Barton and Jevons holding their nerve.
The first miss came from PNE centre-half Clarke Carlisle who saw his effort saved by Roache.
Haining made it 3-2 to Morecambe before McLean netted for PNE. Gary McDonald and Tsoumou were both successful, before Izak Reid’s penalty was saved by Arestidou.
Preston skipper Ian Ashbee fired over, then Arestidou made his second save on the bounce to deny Ellison.
Danny Mayor put PNE 5-4 up, keeper Roache made it 5-5, then Steven Smith and Gary Hunter were both successful.
George Miller scored to make it 7-6 to the visitors, with Alessandra ballooning his effort over the bar.
PNE: Arestidou, Gray, McLean, Carlisle, Smith, Daley (Miller 89), Ashbee, Barton, Parry, Tsoumou, Proctor (Mayor 72). Subs (not used): Wright, Zibaka, Turner.
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