Barrett Hayton scored to extend his point streak to eight, and Karel Vejmelka made 23 saves for the Coyotes (27-33-11), who were 6-0-2 during an eight-game point streak and had won four straight.
"I thought we played good in the first period, we just made mistakes with execution," Arizona coach Andre Tourigny said. "We gave up two breakaways and a 2-on-1 on an execution mistake. … It's just some nights you decide to fumble the puck deep, you fumble the puck at the blue line and you give up a breakaway."
Ehlers gave Winnipeg a 1-0 lead at 4:17 of the first period, scoring on a breakaway off his own rebound.
Lowry made it 2-0 at 11:33, scoring short-handed on a one-timer on a 2-on-1 rush.
"Anytime you get a 2-on-1, you want to hit it hard and get it above the pad," Lowry said. "[Morgan] Barron made such a great pass, so it made my job pretty easy. It landed flat on my stick and fortunately I got all of it. But [Vejmelka] played extremely well against us here. Again, he only gave up two and gave them a chance to win."