"I'd be lying if it didn't go through my head. Just because of the nature of the way that Pant played. He can take the game away from you in the space of five or six overs. So what was already in a tight game there was some demons thrown around inside my head. But I had to drop those as I bowled the next over. You've just got to suck it up and move on. But I was very relieved when Pant was out."
Pant was eventually dismissed after lunch when he skied one in the air off Trent Boult and was superbly caught by Henry Nicholls for 41.
"It was a horrible feeling. Probably the worst feeling for a cricketer when you drop a catch, you feel like you're letting your mates down," Southee said.
The famous 'dropped the World Cup' line comes from the 1999 World Cup Super Six game between South Africa and Australia when Proteas fielder Herschelle Gibbs failed to hold a straight-forward catch while celebrating the dismissal of Aussie skipper Steve Waugh. Waugh reportedly said "How does it feel to drop the World Cup, Herschelle?" before going on to score a match-winning century and keeping his side in the competition, which they eventually won.
Southee then chimed in to take the final two wickets of the Indian innings before New Zealand chased down 139 to win by eight wickets and claim the inaugural trophy.
Southee, who now has 314 wickets in 79 tests, said he wasn't as confident New Zealand could win the event after a poor start to their campaign in 2019.
"Two years ago we lost our first test to Sri Lanka, but like any world event you hope in entering it that you're there in the end. We played some pretty good cricket along the way and we managed to find ourselves in the last two with a bit of luck along the way as well."
Southee and his fellow returning Black Caps have more than a week left in MIQ before they can celebrate the victory with friends and family.
"It's been an unusual one coming back and being thrown into a hotel for two weeks. It was a pretty special trip to be a part of," he said.